Pretty relaxing/low key time if you are anywhere away from the "times square" area. Anywhere along the beach will have options for jet ski rentals, paragliding, etc - just start walking and you'll find a vendor.
Food wise, we always have to eat at the Bella Mozzerella/2000 flavors ice cream place that is right off the pier (times square area) - though they changed ownership in the last couple of years so don't know if it's changed much. Also there's a decent microbrew place (House of Brewz) and sushi restaurant called Zushi Zushi. Those are just east of the time's square plaza area - and I believe the sushi restaurant serves stuff from the brew house.
Shopping is decent if you head to Coconut point (maybe a 20-30min drive). We stay on the middle/southern end of the island, so we always hit up the Holiday Inn (think its a Wyndham now) for beers, some live music, and buckets of cocktails - this is actually a Pinchers restaurant in the hotel.
Other options such as various "dolphin cruises" and boat rides available as well. Also pretty cool to do an airboat ride and/or paddle boarding down in the Everglades.
EDIT: Completely forgot about the Heavenly Biscuit - great place to grab some breakfast.