Other than beach/water activities, there isn't a lot to choose from. It is a very pretty island, but quite small. You can grab a tour van and go to the other end of the island to look at the lighthouse, and there is a nice touristy area just next to where the ship docks. I think that they also offer horseback riding.
The snorkeling was great at Grand Turk. Other than that there's Margaritaville which was great fun, free chairs, big pool, music. Almost like a private island (other than the cost of drinks!) Great stop! (Just got back last week)