There are plenty of lovely walks nearby along the Cleveland Way, including Roseberry Topping, Lordstones, Carlton Bank, and many more scenic routes.
Saltburn is a short drive away and has a great beach and surfing. Runswick Bay, Sandsend, Staithes and Robin Hood's Bay are a little bit further, but also offer lovely coastlines.
Here you can do white water rafting, canoeing etc.