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In addition to playing in the water, there are some large dunes near Punta del Diablo, the surf shop sells dune boards. Think of it as snowboarding on sand dunes. Of course there is no lift, so it's a lot of work to walk up the hill. The best dunes are on the southern end of La Viuda beach.
North of town; it's possible to walk along the beach to the biological reserve.
From the biological reserve to the Fort of Santa Teresa, an historic fort, it is about 1 hr away by car.
To the south there is a nice walk to the lighthouse (faro) along the beach.