For lots of activities, see Keswick Tourism.
Rookin House Farm (Troutbeck, south off the A66 near Penrith) provides equestrian, off-roading and other activities. Learn to climb in safety at Keswick climbing wall & activity centre. They have an indoor climbing wall and also offer a wide range of outdoor activities such as Ghyll Scrambling , Canoeing , Archery and High Ropes. If the weather keeps you indoors then, other than the climbing wall, you can try:
For an evening at the theatre, try the Theatre by the Lake in Keswick, situated close to Derwentwater. You can park close by in the Lakeside car park - parking charges apply. You can arrange a pre-theatre meal at the venue or the Highfield Hotel is just a short walk away.