I grew up in Rocky Mount! My family is all still there, and I am there every month or so. There's not much to do, but I can give you restaurant advice.
Barbeque: one poster mentioned Parkers, but there is no Parker's in Rocky Mount; they are in Wilson and Greenville. Parkers is good though if you wanted to make the drive. Gardner's BBQ is just okay, but for really good BBQ you should make the 20 minute drive to Wilson and eat at Bill Ellis' BBQ.
The world's best donuts are at Anne's Donuts on Sunset Blvd. "Anne" started making donuts decades ago, she's long gone now but there is a new shop open next to Sonic. I swear they are the best donuts ever.
Shopping: Golden East Mall is the only real shopping, with a Belk's, JC Penny and Sears as well as a few other stores. Sajetto is right though, they are losing a lot of their stores.
Interesting things to do: sorry, I lived there for years and can't think of any!