Grand Marais is a small little town, but there is a lot to do there and nearby out in nature such as hiking, boating, canoeing, etc. Taking scenic drives is also something worth doing as the area around is so beautiful. Make sure you get up to Isle Royale, Kekabekka Falls and Grand Portage. Also, while in Grand Marais don't miss out on a chance to go out on the schooner Hjordis for a bit of daily sailing.
If you love wilderness with waterfalls, forests and wildlife, I suggest going to Judge C.R. Magney State Park. You can do hiking, camping etc...great park. Do also stop by the Gunflint Trail Visitor Center, you can get tons of helpful information there.