I'd second Palo Duro Canyon. They have a play that shows on the weekends that is worth seeing. Fireworks at the end, the kids will love it. If you're planning on doing any hiking, get is done early in the AM.
If you like burgers, be sure to check out Coyote Cafe. South of 40 off Grand (east side of town) it's a little shack on the east side of Grand. Can't miss it, it's got old toilets w/ flowers planted in the front lawn. Don't be scared by it's appearance, the food in incredible and the service isn't anything to complain about as well. It's fun just to set in there and watch "stuffy folks" walk in, look around and promptly leave.
For the heat of the day, check out the Discovery Center up by the hospital. Interactive science exhibits for kids.
There's some beautiful canyon country around Lake Meredith, well worth the drive. Also, Alabates Flint Quarry (Nat'l Park I believe, is right out there too) - good native american history.
As a non resident you are required by law to stop at the Cadilac ranch and gawk. I still don't get the attraction, but to avoid jail time, you'll have to oblige. Just west of town on south side of I-40.