Favorite thing: It's great to walk at the beach. You will find several of these "rock gates" and if you walk through, you'll find another sandy beach. But take care of the tides, some places may be impassable during flood. If you're lucky there's a way up, otherwise you have to stay and wait for ebb... I think climbing up the rock is no real option!
Favorite thing: Many people come to Praia da Rocha for the clubs and bars but the real beauty is the coast and the hidden coves with clean sandy beaches. Explore the coast and see how beautiful it can be, then do the clubs at night.