See
Most hiking, skiing, and other outdoor opportunities are in the national forests and are covered in their own articles, but one highly distinctive "hike" takes place on the highways, rather than the trails, right before Easter. Santuario de Chimayo described under See is the destination for pilgrims who hike sometimes for several days and many tens of miles from the surrounding area as a gesture of faith and also in the hopes of taking advantage of the church's reputation for miraculous cures. If you're Catholic and have some time leading up to Easter, consider joining the throng; if you're just driving in the area then, be extra careful of pedestrians.
Pecos National Historical Park
(http://www.nps.gov/peco/) is near the town of pecos at the southern end of the range, near where i-25 crosses the ridge at glorieta pass and on the way to the santa fe national forest trailheads near cowles. it contains not only ruins of ancient native american settlements but also more recent ruins of churches from the spanish mission era. a short loop trail accesses several of the ruins. admission $3 per vehicle per day; the "park pass" sold by the national park service affords unlimited access to this park and other nps sites.
Most lakes and streams in the mountains are too small and cold to support many fish, but fishing along the Pecos River, which has its headwaters in the range, can be OK. Try various locations between Pecos and Cowles, but please respect private property.