One of the more popular beach activities is to rent jet skis and cruise around the Sea of Cortez. You can get pretty close to the famous Arch and are allowed to the North and can cruise to the end of the bay in the South. Generally, you're allowed to rent for either a half hour or 1 hour. It's a fun thing to do if you're relaxing on the beach, but need a break to do something active.
To rent a jet ski, simply walk up and down the beach, find a vendor and bargain with them. Because we had 4 people, we were able to get the price down quite a bit. Don't forget to take your water camera!
I wish I brought my camera when we kayaked out to the rock formations and lovers/divorce beach (pic was taken from a fishing boat on a cloudy day). Absolutely amazing. They are huge in comparison to us in kayacks. We went out to the point where the Sea of Cortez meets the Pacific Ocean, very cool. Don't forget to make a pit-stop on Lover's beach, also Divorce beach a few yards away (the side facing the Pacific Ocean). Ahh- and they sell beers there ;)
One day we headed over to Villa Del Palmar and spent the day there. They had a nice pool and lots of activities throughout the day which was nice. My sister and I decided to play some tequilla volleyball coz it sounded fun, and it was. The pool was full of people having lots of fun and when it was "half time", they had bottles full of alcohol and poured it into our mouths. I would anticipate people to partake in activities, it just makes the holiday even more fun.
Go for a ride with the wave runner and discover the Arch on your own way. You can find wave runners on the Medano Beach and cost normal US$ 40 an half an hour. How we did it for US$ 20 you can read in my general tips...
Go for Parasailing and enjoy the quietness in the sky. On most places they let you up on land, in Cabo, they let you up from the speedboat what is safer as you are on the sea already. Also going up in a tandem is aloud here. This was something I never saw on other places. Price: US$ 40 by person for an half an hour. We paid US$ 20 for both of us (US$ 10 by person) for a single flight...
Drive a water scooter all the way to the rock formations. On your way you will find adorable seals that will acompany you.
If you fish or if you've always wanted to... Cabo is the place to do it. Waters are usually calm and the boat ride is scenic and worth the trip on its own.