Was there three weeks ago on a family holiday. A few things we enjoyed doing:
Kayak trip out of Le Bugue. We were driven upstream to Les Eyzies and then paddled back down to starting point. Nice bit of river which is a tributary of the Dordogne, easy paddling, not guided or anything, just given a kayak and off you go for 3-4 hours. We stopped halfway and had a picnic by the river.
Visit to a local vineyard for some wine tasting (and then we purchased a load!). We went to Chateau Terre Veillie, which I would highly recommend, but there are loads of them around, mostly family run, so just take your pick.
Visit any of the town markets and fill your boots with great food and wine.
Hope that helps