Yes, check out Brown County State Park. It's beautiful (especially in the fall with the leaves changing colors), you can camp there, hike, etc. Also great for road cycling (killer hills) and some of the best mountain bike trails in the Midwest, with different trails appropriate for riders of all different abilities.
Also, if you're in Brown County, head over to Nashville for some great shopping. There's also a small brewpub there (Big Woods Brewery) that has decent beer and amazing pulled pork nachos.