I don't know why, but one of the more popular things to do around here is slide down the Sand Hill north of town. Guaranteed to burn off some of that excess kid energy... and apparently it's fun for adults as well.
About 1/4 mile North of the entrance to Arches National Park is a huge, steep hill of sand that usually has cars parked and people hiking up to slide/roll/fall/jump down the hill.
Find a piece of cardboard, plastic, or pretty much anything... then climb up and slide down. Super fun, but be prepared to get sand...everywhere lol. Please take your trash with you when you leave.
Note that the sand hill is on the left side of the road when you are headed north and can be dangerous turning in from that direction. Continue north until you can turn around and approach it heading South.
Directions and Reviews of the Moab Sand Hill