How many/what ages are in your family?
Our favorite activity (myself, DH, & DD- 12 at the time) was the ATV tour in Moab. It was just us, a friend from our group, and the guide. We had an absolute blast! Pack old clothes because you will get filthy. I am NOT an outdoors person at all, but there was something about going as fast as I could across the creek as the water & mud flew over me that was awesome! lol
When you are in Sedona, the main pool is nice. We also enjoyed playing 'golf' on their chipping course.