All roads are scenic so driving around never gets boring. There are plenty of options for hiking. Most islands also have scuba diving, whale and dolphin watching, jeep tours, and horse back riding.
Sao Miguel: this island can well enough be a trip on its own with all of the scenic points, caves, sports activities, and hot springs. On the day we visited Furnas, in addition to soaking in a hot spring and hiking down to the lake to see the hot steam come straight out of the ground we opted in for Canyoning. It is not canoeing or walking along the shore and looking into the canyons – canyoning is hiking up a mountain and then finding your way down by rappelling and jumping off of waterfalls. We were warned about the dangers and the cold that was to come but I don’t think either of us was really ready for what was about to happen. The entire way up I was genuinely afraid of slipping on the wet, muddy leaves and falling into the nature’s abyss off a mountain rock. On the way down it was cold, wet, with a scent of fear and extreme thrill. Terror aside, I would do it again, with proper hiking shoes and a couple years of swimming lessons behind me.
Terceira: The obvious thing to do in Terceira is to visit the caves. When you are standing at the bottom of an empty volcano 82 meters deep things really do come into a different perspective. What we were not expecting to do in Terciera, however, is party. One of the nights our waiter recommended checking out a club across the street where there it was some sort of a dance lesson night. Hesitating going there we wandered around the block quickly realizing that Angra do Heroísmo is the party central of Azores, even though it was a Tuesday night. The Snack Bars were full, the streets were busy and, it seemed like, everyone in town was at the Club. People sitting around on stairs and tables, leaning and smoking out of the windows, an occasional child running across the room, and one notable man working the dance floor in what seemed like Brazilian fusion.
Pico: My clearest memory of Pico is driving through the mountains through a dark white cloud wondering if we will ever get home and how likely are we to slide off the said mountain into the ocean on the next turn. There is also a small wine museum (no wine tasting), a few small vineyards along Madalena and a cool tour though Gruta das Torres, a recently opened to public volcanic lava tubes. Overall, Pico is a great place for scenic drives.
Santa Maria: The beaches, people come here for the beaches and they are worth it. There is a number of natural swimming pools where the ocean water fills the pool area with plenty of sunbathing room around – this is where I want to spend a week in August. The island is small, we did everything that can be done on it in 3 days, enjoyed the view of the entire island from the single highest point on the island, saw the “red desert”, looked off every viewing point, found the 100 meters tall waterfall, hiked down to the ocean from a lighthouse and up the mountain between the vineyards.