The Dells themselves are BEAUTIFUL!
Take the Upper Dells boat tour and do some hiking.
Unfortunately, a huge tourist trap has built up around a beautiful natural resource and many families have gone there for years only to go to the water parks, ride go-carts, etc. and have never actually seen the actual Dells.
Nearby is Devil's Lake State Park which has a very nice campground and the park itself (Wisconsin's largest state park) is beautiful, with lots of trails and places to visit.
As cheteckie has said, don't miss having dinner at Ishnala Resort in nearby Mirror Lake State Park. You WILL NOT believe the setting and atmosphere. Incredible. The food is excellent too.
Other places within driving distance from the Dells are Wineries, Circus World in nearby Bariboo, WI, Steam train rides, and the House on the Rock, which is a tourist type attraction, but is like nothing you've ever experienced. One entire day to experience that one!
Oh, and Door County is nice too.