With any park, this is the best way to get an understanding of your surroundings and what the park has to offer. Talk to a ranger. They can make suggestions, provide you with maps, and give you advice. Many stations have theaters that play videos to give you a better background of the park. This is also a good place to pick up any souvenirs, books, maps, and other park merchandise.
There are five visitor centers located in the large area of Big Bend Nation Park (open subject to season). Panther Junction is the largest located near the center of the park. I love all the stations, but Castolon Visitor’s Center is especially cool since it’s an actual old store complete with post office boxes. Several apparent hints of when this was once a bustling expansion settlement.