If you live in Rancho Sahuarita, the water park is free to residents (part of the HOA fee). There's the standard fun centers around as well (haven't been to any yet, though).

Lots of hiking/biking/camping around (and not just "desert" camping; there's plenty of mountains to get your pine tree fix).

There's some great National Parks within driving distance.

Phoenix isn't far if you want more. San Diego isn't too long of a drive either.

Some people I know like to drive out to Rocky Point in Mexico and camp on the beach. Never done it myself.