THere's a really neat cheese shop nearby. Unfortunately I can not remember the name. Not only are you close to Marblehead lighthouse you are close to East Harbor State park. Too cold for swimming but there are some nice hiking trails. fishing is really nice around the area (but you might find it a bit cold).
When I was a kid we use to spend weekends up there during the summer. Most of the places tend to be seasonal and I don't think they'll be open though there is a zoo of some sort up near there.
If the ferry is running you might want to jump on it and go see the glacial grooves on Kelley's Island.
Jen
Mom to 4 wonderful children
DS#1 7/96
DS#2 11/00
DD#1 11/03
DD#2 6/08