A couple more ideas:

• It is a bit further afield, but there are some lovely caves in Vallorbe with nice walks in the surrounding area. You take yourself around the caves with a printed guide available in several languages including English (this is a great outing for baking hot summer days as it is always nice and cool inside the caves!) http://www.vallorbe.ch/tourisme/visites/grottes.html
• Also in the area is this WWII hill fort: http://www.vallorbe.ch/tourisme/visites/fort.html

There are various thermal baths in the area :

• Yverdon: http://www.cty.ch/bains.html
• Gruyères: http://www.bainsdelagruyere.ch/fr/ (These are brand new, opening for the first time on 31.03.07)
• Lavey: http://www.lavey-les-bains.ch/home.php?id=2 (Website in English)
• Ovronnaz: http://www.thermalp.ch/index_fr.php
• Saillon: http://www.bainsdesaillon.ch/
• Val d'Illiez: http://www.thermes-parc.com/

If you have kids (or are just a big kid yourself!), you might prefer:

• Bouveret: Aquapark - tons of waterslides, water canons, wave machines etc (a large part of the complex is covered and remains open all year round): http://www.aquaparc.ch/2005/frame_attract_e.html
• Renens: Aqua Splash - smaller park with water slides, pools etc.. http://www.aquasplash.ch/

Enjoy!