Hiking is the thing to do on La Palma.
You've got wonderful nature, great trails and paths, amazing landscapes, height, variety, good infrastructure, good route descriptions, great views, everything.
It's just spectacular. The humid north/east side of the island with its forests, the Caldera with its lush nature, the Volcanoes and their badlands in the south, the high and mighty Caldera rim, thousands of green barrancos, it's wonderful.
La Palma is the western most island of the canaries, so the waves will always hit here first when they come from the north atlantic. Most people surf at the beach of Playa Nueva, and if you ask anybody where is there surf, they will point you to this beach, This can mean that this really is the only beach, or that they want to protect there real jewels. Which is understandable if you look what has happend to the other islands. So if you come here, be respectfull to the locals, and don't be a dickhead.
As what did I find there??? Out of respect to the locals, that will stay a secret.
Equipment: From boards to small waves, to big wave guns, you could need them all.
La Palma is a paradise for hikers. There are many trails, from short few hour ones to day long hikes. All the hikes are pretty well signposted, so you won't get lost too easy, and as it is a small island, you will end up somewhere always anyways.
There are also companies that offer group hikes, but if you are a bit experienced, it is the best to do them alone or with a friend.
Equipment: You will good shoes, a sweater for the higher hikes and a raincoat.