The most popular activity by far is scuba diving and there are more than ten dive schools on the island of Phi Phi Don. All offer fun dives around Phi Phi, as well as further afield down to Koh Lanta, and the usual courses if you wish to learn or improve your skills. If you don't dive, snorkelling is a must and can be done from some beaches, on any boat tour (see below), or for early risers on the famous "snorkelling with sharks" trip - a dawn excursion to see the rare (harmless) blacktip reef sharks just off of Long Beach (Hat Yao).
Sporty, fit people can also go kayaking around the coastline (the distance between islands is too far to be manageable by paddle power), either by renting by the hour from the shop on Lohdalum Bay, or on a guided tour (the sunset trip is nice). They can also try their hand at rock climbing (training provided for beginners) or even cliff jumping (an exhilarating drop from the top of a sheer rockface into the sea, with complimentary video of the event).