Not right in Cocoa Beach, but you could go to Kennedy Space Center for the day...it's not very far away. Also, there is the Dinosaur Store right at the intersection of A1A and 520 in Cocoa Beach...it is pretty fun, especially if you have little kids. Going through the big Ron Jon's store is always fun. Isn't there a pier there with a lot of shows and stuff on it too? I drive through Cocoa Beach to take my kids to swim lessons every week and I see signs for stuff going on at the pier.
You could also go up to Port Canaveral and watch the cruise ships come and go while dining at one of the restaurants there. There is one called Rusty's or something similar that shows up on Restaurant.com .
I can't say it enough... GO TO SIESTA KEY! Less than two hours away (gulf side) and amazing beyond belief. Sheer heaven on earth! We went for 2 days this November and next year we're going for 5-7.
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