It is fun to shop in town. You can get a bus to the blowhole where there is another shopping area as well. You can take a little boat tour of the harbour for very little money. I like to walk through the fish market at the pier and also feed the sea lions that congregate on the dock. You can buy a bucket of bait for about 10 pesos or $1.
One of my favorite restaurants anywhere is El Rey Sol. It is a wonderful place for a great lunch. The owner goes to Europe regularly for cooking classes. They have wonderful food and service at all price ranges. (It's in the middle of town.) Their tableside caesar salad is a masterpiece and quite a production. As you probably know, the Caesar salad originated in northern Baja, not far from Ensenada.
There is also a very old winery in the middle of town that gives interesting tours. (Santo Tomas)
You can also take a bus tour up to the Valle de Guadalupe and take a more extensive wine tasting tour of some excellent more modern vineyards like Monte Xanic, L.A. Cetto, Pedro Domeq, etc. This is a lovely day trip with a lot to see and good tastings and tours at the wineries.
I was just there at the beginning of November and in February of 2003. In Feb. my husband and I signed up for the Baja Banditos tour (horseback riding in the mountains/hills next to the bay) and we didn't like it. Unless you have never ever ridden a horse, I don't recommend it. I've barely ridden, my husband is experienced and my redneck friends who are very experienced horseback riders didn't like it either. BUT like I said, if you've never ridden then you'll enjoy it. The horses are squat and wide, lol. They were so friendly and well natured. You won't be doing anything but walking at a slow pace, nose to tail. Those horses take the route at least twice a day and know where they are going. There is no point in holding the reins most of the time. The picture shots are good if you've got a good zoom on your camera. You'll need two hands which is good because, like I said, the horses know where they are going. Great views of the ship from the top of the mountain/cliff and the food at the end, though simple was great.
Also, the shuttle driver is hilarious.
We just thought that we'd have more freedom to roam the horses in a group setting but we weren't allowed to lead them off the trail or line of horses. That's why we didn't like it.
If you are also going to Catalina, my friends who rode with us on the horseback tour said that the Eco Raft Tour is the best. They saw all sorts of dolphins and have EXCELLENT pictures to proove it. The woman in the couple said that nothing could make her cruise any better (she was wrong, her boyfriend proposed that night!).