As far as I know, the Arts Centre is a venue, so it wouldn't really be worth visiting unless you are going to see something. It's also closing down next month.
The brick train is not easy walking distance from the town centre (5 miles round trip?).
If the train times are suitable, Shildon probably is worth a visit, there isn't really a lot to see in Darlington. The Quaker burial ground and St Cuthbert's church are probably the most interesting sites in the town centre.
http://www.hidden-teesside.co.uk/category/darlington/
There is a real ale tapas bar, if you like tapas and real ale