Excellent mtb trails just 25 minutes out of town up the Ferguson Valley - at 'Pile Rd'. Spent two days down there on the bike last week - most notably, Griz's Trail down is an epic sweeper with some great berms and jumps/tabletops at the bottom. They have recently completed an excellent new up trail to complement it. There's a microbrewery just across the road from the bottom car park.

There is also a downhill at Wellington Mill (not much further up the valley) where the state titles are sometimes held. Haven't ridden that yet.
In fact Ferguson Valley is an undiscovered gem - sort of like uncrowded Margaret River. And the wines from there are really starting to make people notice now the vines are getting on (15 years plus for some).
I like Bunbury (although I have only ever visited briefly). It appears to be a noice, largish, country town. Its size means that it has most services, even pretentious food.
Not sure about the watersports side. But it can't be too bad, as its only an hour or so further on to Margaret River.