Hiking from one village to another is an absolute must. Here are a few options.
One day hike For a one day hike, start in Sanga. There are different one day hikes starting and finishing there, called Petit Tour (7 km), Moyen Tour (10 km) and Grand Tour (15 km).
From Bankas you can also make a one day trip to the escarpment, but it will be a full day, starting early and returning quite late.
From Bandiagara it is not well feasible to do it as one day trip. Better take two days.
Two days hike On a two day hike, you have the possibility to sleep in one of the villages which gives you a unique impression.
From Bandiagara the best place to sleep is Kani-Kombole, Teli or Ende.
Longer Hikes Longer hikes from Bandiagara and Sanka are mostly first to Tel, then going north, sleeping in Yawa or Douro and then back. It is also possible to a complete north-south trip, starting in Sanga and finishing in Bandiagara or Bankas.