The ultimate sport and leisure resort in the region is located in Vuokatti (somewhat 40 km away from Kajaani to East). The facilities include 200 kilometres of cross country skiing tracks, 12 down hill skiing slopes, an indoor ski tunnel, indoor half pipe, luxurious Katinkulta spa, golf couse, indoor bowling alley (with regular disco bowling!) and a whole range of accommodation from log cabins to well equipped flats and hotel rooms (It's useful to book well ahead though).
The skiing season runs roughly from December to May. Vuokatti also boasts as being the home of the nationally and internationally recognised sports training institute, as several professional teams from various different countries train there every year.
The marked walking trail network of Kajaani includes several circular trails of various length, and connection trails between them. There most accessible trails are located in Pöllyvaara and Vimpelinlaakso.
The large sea-like open water areas such as the Nuasjärvi and Oulujärvi lakes, the small lakes and the light pine forests are excellent places for bird watching (them flying things!!).
Picking berries and mushrooms is allowed in most forestry areas, according to the Everyman’s right.
There are very good fishing places on the River Kajaani as well as the Lake Oulujärvi which has a diverse set of fish species including trout, whitefish, pike-perch and pike. The fishing licence can be bought from the Intersport shop, located on the high street (Kauppakatu 24). If I'm right, ice fishing is allowed without permit (check, however, in advance).
There are well maintained cross-country ski trails in Pöllyvaara and Vimpelinlaakso. However, be aware that the terrain is pretty challenging for someone who has not done cross country skiiing for a long time or at all before. In that case, head to the island of Rehja on the Nuasjärvi lake (the trails are open and maintained roughly from January to March, depending on the thickness of the ice). Since the terrain is entirely flat the frozen lake is a good place to go skiing even if you haven't done it much before.
You can also walk on the ice (for instance towards Rehja or just off Paltaniemi), but make sure you don't tread on the skiing trails as the skiers won't be too happy about that.
There are a few possibilities to drive on the ice as well. Make sure you consult the travel info (Kajaani Info) before you do this, as it might not be safe to take your car on the ice if it's not thick enough.