The most prominent structure in the Grupo Cobá is La Iglesia (the Church). It's an enormous pyramid; if you were allowed to climb it, you could see the surrounding lakes (which look lovely on a clear day) and the Nohoch Mul pyramid. To reach it walk just under 100m along the main path from the entrance and turn right.
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).