The Sandy Bay beach is great for taking long walks, and there's amazing snorkeling about a 200 meter swim out. In the shallows, the turtle grass makes wading not quite as enjoyable, but is environmentally important, as it is home to many juvenile fish.
On the south side of the island, just before Coxen Hole (Sandy Bay is on the north, so over the hill from it) are the areas of Flowers Bay and Gravel Bay. These areas are mainly residential, and are worth a drive through them.