Turn off the highway at Penong (the 'Town of Windmills'; population 200), and follow the 21km dirt road to Point Sinclair and Cactus Beach, which has three of Australia's most famous surf breaks. Caves is a wicked right-hand break for experienced surfers (locals don't take too kindly to tourists dropping in). There's basic bush camping on private property close to the breaks (per vehicle $15); BYO drinking water.
The viewing platforms at Head of Bight overlook a major southern right whale breeding ground. Whales migrate here from Antarctica, and you can see them cavorting from May to October. The breeding area is protected by the 45,822-sq-km Great Australian Bight Commonwealth Marine Reserve, the world's second-largest marine park after the Great Barrier Reef. There's also 80% of the world's population of Australian sea lions living here.
Head of Bight is a part of the Yalata Indigenous Protected Area (www.yalata.org). Pay your entry fee and get the latest whale information from the info centre. The signposted turn-off is 14km east of the Nullarbor Roadhouse.
While you're in the Head of Bight area, you can also check out Murrawijinie Cave, a large overhang behind the Nullarbor Roadhouse, and have a look at the signposted coastal lookouts along the top of the 80m-high Bunda Cliffs.