Swimming, and any activity you could imagine for the water lovers! I would recommend bringing a towel or chair to sit. There are restaurants/beach clubs/water sport vendors along the water.
You can walk along the perimeter to look at the boats, or do shopping in the mall. Lots of boardwalk shopping and vendors selling services/ activities. The boats in the marina exit in to Medano Bay. There is also a “CABO” sign to take a selfie in front of by the mall exit to the marina.
If In Cabo during Mexico they celebrate the way they do in the US, costumes are welcome!
Day of the dead celebration is November 1st and 2nd