If you golf be sure to bring your clubs. The course there is cheap, very fun and the scenery is awesome. I highly recommend it.
http://www.watertoninfo.ab.ca/m/golf.htm
If you want a good hike that is really fun and gets you away from the hordes of people try taking the drive out to Red Rock Canyon. As you go over the rollercoaster hills and wicked bends you'll find a lot of little creeks that you pass over. Stop at one called "Horseshoe Creek" or "Horsefly Creek" (can't remember but it's the horse one). Then just head north up the creek. Make sure to wear shorts and sandals (and make sure it's a nice day) because it's a hike along a creek and in some area's you have to wade. It's nice because on long weekends the typical hikes (bears hump, red rock canyon) get very crowded.
As for shops you can find some cool stuff at Tamarak mall and of course on main street. The candy store and ice cream store are a must on a hot day. Pat's (the gas station) is pretty neat too and they rent out the canopy bike-type things that are pretty neat to take on a tour of the town with.
Definitely check out Cameron falls and there are hikes on both sides. On the right it is basically just a tiny hike to a look-out point and on the left is a more involved one. There is also a lot of trails and interpretive centers that line the banks of the creek towards waterton lake. If you hike from Cameron falls along the creek to the lake and stay on the South side through the camp ground there is a decent beach (no sand though) and more trails that head east along the lake.
There is tons to do in Waterton and one of the best things to do when you get there is to stop at the Ranger station and get a trail map and find out about recent bear sightings. It's on the right hand side of the road right after the entrance to the Prince of Whales hotel (which you have to drive up to and get the overview of the townsite and some pictures)
