Chur is a somewhat sleepy town. In spite of being quite important historically (the Chur archbishop ruled a very large territory in middle ages, and is still one of the very few Catholic bishops elected by the cathedral chapter), it does not have much sights. The town is nice but not much more. Cannot tell about Arosa, but Disentis (about 1 hour away) has a nice baroque abbey. A way to spend a day would be a trip to Maienfeld, quite close by train from Chur, where there is the Heididorf, a reconstructed traditional Swiss village according to the Heidi story.
I have been in Feldkirch, Austria, but easily accessible by trains, only shortly but looks very nice - better than Vaduz.