Lyon was a roman city, and in te town itself you have many well known roman remains (the amphiteatre etc), but out of the centre of the city you can visit the remains of the Roman Aqueduct which was built in order to bring water to Lyon from the Pilat area. The Aqueduct was very long and large parts of it remain. It is mostly out of the bustle of the city centre and make for a good walk. Get a bus to Chaponost or Beaunant (about 10 km from the centre on the went of Lyon), the Aqueducts are clearly visible.
Information is available from the tourist office