This is a great place to go for a walk and a swim in the pond. You can also see the spot where Henry David Thoreau lived while writing Walden. Please note that Walden Pond can be quite crowded, but if you get there early or later in the day the chances are you can find a parking spot.
Here is some additional information.
A great area for a walk and a place to explore is the Minute Man Historical Park. there is a walking path which takes you past many historical sites. Here is the All Trails map.
This is the homestead of Louisa May Alcott which has been turned into a museum. It is very close to Downtown Concord.