If you’re wondering what to do in Cave Creek, Arizona, look no further! Cave Creek is a small town that has much to offer. The town boasts beautiful scenery, including open desert, mountain peaks, and a variety of flora and fauna.While many of the best things to do in Cave Creek are outdoorsy, there are a few things you can do indoors as well, such as visiting museums, libraries, and art exhibits care of the Sonoran Arts League.