This is a pretty big state Park located in the Panhandle of Texas. It is sometimes referred to as a mini Grand Canyon.
There are plenty of trails for horseback riding, mountain biking, and hiking. You should check out the Lighthouse Trail while you are there.
The "primitive" campsites include a picnic table, running water, and fire pit. If you want to get away from others I highly suggest backcountry camping.
There is a guided tour of the Old West Stables, that is perfect for the whole family. Also, the Pioneer Amphitheater host the play TEXAS, which is a must see if you are in the area.
I would also recommend going to the Panhandle-Plains Historical Museum just 15 minutes West of the park.