The beach! Sasco beach and Jennings beach are other favorites. There are a ton of beach options around the area. Stop by Firehouse Deli on Reef Road to pick up some beach sammies beforehand!
Shopping! Main Street has many popular stores and boutiques to explore. (Also a ton of fun restaurants!) It is also beautiful just to walk around- right on the water. If you are staying in Norwalk, the SONO collection is a relatively new mall with many great stores.