Apart from lying around the pools or on the beach, you must go on a safari whilst in Kenya. There are lots of reserves, but our favourites were Tsavo East and the Msai. It is just magic to see the animals in their natural surroundings, elephants, giraffe, gazelles, lions, baboons, buffalo, etc. and just when you think you have seen everything you turn around and standing there is the biggest elephant you can imagine or an eight metre long crocodile -- just mind blowing.
I would also recommend one of the many sailing trips, which normally manage to find the a school of dolphins, and if you are lucky you can swim with them. The Malindi excursion is also very good, especially the trip to the lost city of Gedi. The ruins of this lost city, which was once a great and wealthy trading outpost, lie deep in the Arabuko Sokoke coastal Rainforest. It was mysteriously abandoned in the mid-16th century (no reason is clear as to why), but it is a fascinating place to visit as the only inhabitants are the velvet monkeys.
Quick Tips:
Try the sight seeing tours arranged through your hotel or complex, DO NOT purchase from the beach boys as you are likely to be either ripped off or be putting your life in danger. Two sets of tourists have been injured this year on the so-called cheap excursions, one on a boat that broke up whilst at sea and did not have a seaworthy certificate, the other in an un-registered mini bus which mysteriously crashed whilst driving along the main road (no other vehicles involved). Take my advice and don't be taken in by them.
Best Way To Get Around:
The best way to get around is by using the hotel or complex's own transport (most have them) or taxi arranged by your hotel or complex as they will only use reputable companies or walking but be careful at night and be ready for the street sellers to mob you.