Rick's chapter in his Switzerland book on the Berner Oberland region (where Wengen is) is one of his very best, with the exception of his over-emphasis on Gimmelwald (it's an interesting few hours, but hardly the life-changing, earth-shaking experience he makes it out to be). I found it hard to follow the chapter before I got there, but easy as pie once I was there - so be sure you have the book. And good for you for having 5 days; with the activities there being weather dependent, you want as much time as possible to enhance the number of clear days for things like the Schilthorn and the Jungfraujoch.
As for not to be missed, I'd put both the Schilthorn and the Jungfraujoch in that category, as long as you can do them on clear days. For the Schilthorn, be sure to stop in Birg on the way down (it's included in the ticket). When I went, the views of the Jungfrau from the top of the Schilthorn were obscured, but from Birg they were crystal-clear and breathtaking.
Determining which pass to get for Switzerland can be quite difficult. To start, how much time are you spending in Switzerland in total, and where else besides Wengen are you going?
Remember that while you may get a better deal with a regional or national pass, it's hard to lose with the half fare card. Since you get half off EVERYTHING that moves in the country, from local buses to the very pricey Jungfraujoch excursion, it pays off quickly. The big advantage of a pass is that with a half fare card, you have to buy tickets every time. With a pass, you only have to buy tickets for something that isn't 100% covered (such as the Jungfraujoch, Schilthorn, and Allmendhubel rides). For everything that is fully covered, you just flash your pass - a great convenience, particularly in the Berner Oberland, where you are constantly on trains, lifts, buses, etc.