So many great hiking options. Bell Rock is near the venue and a casual, flat stroll, but check out AllTrails for many, many more.
There are a few bike shop options and so many great trails to ride!
Flagstaff just just 30ish miles north of Sedona and offers an artsy mountain town with more hiking, biking, restaurants, nature, and shopping.
If you're staying a bit longer, the Grand Canyon is only 2.5 hours north of Sedona and there are several commercial tours available.