Definitely need to go to the French side - Orient beach. Good kite-boarding there and a nude beach. Also, go to the bar next to the airport and watch the airplanes take off and blow people into the ocean. Pretty cool. IIRC there is a really nice restaurant there on the beach with a SouthBeach feel to it and you can watch the sunset. We did a catamaran to Anguilla and that was fun. Cool little island.
We also rented a jeep one day and drove the island - very diverse culture and food due to it being Dutch and French!