The capital of Mongolia is a lively city which has a lot to offer. So far, it's not a very touristic place, so you'll have the opportunity to discover it while it's still unspoiled by mass tourism. During summer, you might meet some westerners doing the Mongol Rally, but in winter it's pretty unlikely to meet other tourists.
It's a busy (hence, very polluted) city and there is always something going on. Many interesting museums to understand where you are, plenty of nice bars and nightclubs to meet the locals, very developed street art, good and cheap restaurants, and of course monasteries and temples. Ulan Bator is a nice mixture of modernity (with new skyscrappers, malls and so on) and traditions (you can still see some gers -mongolian yurts- in the city).
Although it's a rather large city, it's easy to visit the most interesting sights on foot.
Welcome to UB !