There are several temples in and around Hua Hin, the main being Wat Ampharam in the center of Hua Hin town. This large complex is home to the many monks that can be seen collecting alms in the early morning.
The temple at Bor Fai (Wat Bor Fai) has some impressive ponds teeming with catfish which you can feed after a small donation to the monks, it's located about 5km north of Hua Hin (turn left after the PTT station opposite Anantara Resort).
There are also the the temples at Khao Takiab and one to the west of Hua Hin (Wat Khao Krailas) with some impressive Buddha statues.