I have visit Hat Yai long time ago, i can tell you some of the places which you need to visit:
1. Thai Massage
2. Floating Market
3. Pink Lady
4. Shopping
5. Festivals
6. Wat Hat Yai Nai
7. Ton Nga Chang Waterfall
8. Buddha Statues
9. Night Bazaar
10. Tattoo in Hat Yai