The long west-coast beach is divided into activity areas, with windsurfing a popular pursuit near Lakolk. Most enthusiasts arrive with their own equipment, but if you come without, enquire at the tourist office about rental possibilities.
At the southwest corner of the island is Sønderstrand, well worth a visit for the spectacle of buggies and carts streaming along the sand, and to feel the wind in your hair (and sails).
Rømø's interior has walking trails through heather moors and wooded areas, offering quiet hiking spots.
The beaches are perfect for a sunset horse ride.