Grupo de las Pinturas
Heading back in the same direction you came from, you can reach the Grupo de las Pinturas (Paintings Group) by walking about 1km, then...
Rent a bike here and go for a spin around the lake or pedal to the series of cenotes south of town if you're up for a longer ride.
Juego de Pelota
Owned by the local Maya community, Ki-Jamal (which means tasty food in Maya) actually does some tasty traditional dishes. Head upstairs...
Grupo Cobá information
Walk just under 100m along the main path from the entrance and turn right to get to La Iglesia (the Church), the most prominent structure in the Grupo Cobá. It's an enormous pyramid; if you were allowed to climb it, you could see the surrounding lakes (which look lovely from above on a clear day) and the Nohoch Mul pyramid.
Take the time to explore Grupo Cobá; it has a couple of corbeled-vault passages you can walk through. Near its northern edge, on the way back to the main path and the bicycle concession, is a very well-restored juego de pelota (ball court).