I think there's a place right there where you can rent a little fishing boat (rowboat size w/ outboard motor), and go crabbing. It's a hoot. They'll also rent crab rings. You find a place you like (out of the channel!) toss them in 10-50 feet apart, and read or talk for 10-15 minutes. Then pull them up loaded with Dungeness crabs. You have to pick through them (ouch! ouch!) to toss back the females and undersized males. Then at the end of the day, throw back the one legal male and go out to a good crab place. I don't remember if we did this at Coos Bay or Yaquina Bay. The rental place will explain how to tell what's legal to keep and give other tips.
Depoe Bay is interesting to look at. It's a tiny deepwater port.
Any walks along the shore are to be recommended, but don't prepare for swimming, because the water is quite cold. I think most beaches are kind of rocky and rugged rather than soft and sandy.
(Watch for Tsunami's today, though. There was an 8.0 in Tonga. Dunno if it'll get there.) Right on the water is nice, but there may be good trails up onto the bluffs. I saw some up by Lincoln City, but there are several parks and such closer. The trail I was on got us up pretty high above the water line. It's kind of odd to look down to see a hawk / eagle soaring below you.
A bit further up the coast in Tillamook, you can find an air musuem (mostly old planes) housed in a WW2 era blimp hanger. The hanger is impressive. All wood construction. 7 acres under the roof, about 15 stories tall. Look for the basketball goal over the door (inside). If you want, there's also the Tillamook Cheese factory there.
A little inland, there's museum with Howard Hugh's Spruce Goose. Did not see -- it was under construction last time we were there.