Fabrica la Aurora.A 15-minute walk from the main square, this renovated textile mill is home to dozens of art galleries, furniture design stores, and cafes. The design center of San Miguel de Allende featuring local artists.
Mask Museum. This one's for you Alex :) 10-minute walk up the hill from the Centro, this collection of more than 500 indigenous masks collected by the owners of Casa de la Cuesta B&B is the largest assembly you'll see in San Miguel.
The Mayan Baths. About 15-minutes outside of town, this series of subterranean hot spring baths requires reservations in advance (there are public ones but they are very crowded, not recommended).
Horseback riding.As you'll see on your drive into town, the entire area surrounding San Miguel de Allende is open countryside. There are dozens of ranches and tourism companies that offer horseback riding. List is included in the link above.