The skerries (rocky islets) just offshore are a popular excursion from Risør. The southernmost island of Stangholmen, with a pretty lighthouse dating from 1855, is the most popular. This may be due to the fact that it's the only one of the islands with a restaurant, Stangholmen Fyr Restaurant & Bar, which is in the lighthouse.
To get to Stangholmen take one of the twice-hourly summertime boats, which run from the harbour in Risør. Note that they don't go during bad weather.