Walhalla used to be a gold mining town, which is clearly evident as you wander around the town. A trip on the Walhalla Goldfields Railway is good fun as is a guided exploration of the Long Tunnel Extended Gold Mine, where you can find out about gold mining in the area.
There are also a number of interesting walks around the town and in the local area. Whatever you fancy, there is a walk to suit you. From a leisurely stroll around the towns historic sites, to a strenuous trek to the top of Mt Erica or the beautiful Baw Baw National Park.
If you're feeling energetic then you can always continue from MT Erica along the 655km Australian Alps Walking Track. If you are walking however, make sure that you stick to the designated walking tracks as there are a number of mine shafts around the area.
There is a range of accommodation in and around Walhalla, including plenty of bush camping areas.