Well, you can visit the International UFO Museum and the UFO Crash Site (outside of town).
The Roswell Museum and Art Center, on Main St., is pretty cool....I liked it. It has a wing dedicated to Robert H. Goddard. He was practically the father of American rocketry.
There's the Anderson Museum of Contemporary Art on east College Blvd. Never been there, but I have heard it's pretty good if you like that sort of thing.
Bring your golf clubs, or rent some. They have two or three nice courses in Roswell.
IF YOU ARE GOING TO HAVE A VEHICLE AND SOME TIME OFF (DAY TRIPS):
Carlsbad Caverns is about 2-2.5 hours south of Roswell.
I also recommend The Living Desert Zoo in Carlsbad. It is a zoo, but is set-up on the side of a hill and I have been there numerous time. Still love it.
Ruidoso is just over an hour east of Roswell. They have snow-skiing, a casino, and lots of shopping there.
Cloudcroft, about two hours away, is heaven. 8600' elevation. Go hike the Mexican Canyon Trestle Trail. It is great! The Lodge at Cloudcroft is a cool place for a NICE dinner or Sunday brunch.
White Sands at Alamogordo, about two hours from Roswell. Pretty cool, if you have never seen it.
Fire away with any questions you have.