There are so many outdoor activities to enjoy while you are here in Santa Fe. Here are a few to get you started:
Downhill Skiing and Snowboarding
More ski areas:
Sangre de Cristo Mountain Works has a good analysis of other nearby ski areas.
Hiking, Mountian Biking, Cross-Country Skiing
The Santa Fe Convention and Visitors Bureau has info on guided hiking and adventure groups.
Sangre de Cristo Mountain Works details some classic Santa Fe trails.