Jaipur – the Pink City. Be sure to visit the Palace complex (Hawa Mahal) and the observatory (Jantar Mantar).
Jodhpur – the Blue City. Visit the palace and Mehrangarh Fort from where you can see all the blue Brahmin houses.
Jaisalmer – the Golden City. Out in the desert, visit the four Havelis and beautiful Jain temples.

If you are coming up from Pune I would fly to Jaipur, then train to Jodhpur then bus to Jaisalmer. It will be a hectic week but worth it.