I've done the La Bufadora, Horseback ride and the Wine tour. I would recommend any of them.
At the Bufadora, you have to walk thru the street with the shop vendors trying to get you into their stores before you get to the Bufadora. If you don't want to go into the stores, try to stay in the middle of the street and don't stop. There are also some stalls.
On the horseback tour, you are taken to a ranch in the hills above Ensenada. When I went the snack was excellent tacos. They also took pictures of you on your horse that you could buy (don't remember the price, but they only took cash).
On the winery tour, you go to 2 wineries and are given 1 bottle of wine. It is about an hour ride to the wineries. At the end of the tour, we asked to be dropped off in town (we only had the free bottles of wine with us. Otherwise they drop you back at the ship.
Some people I know have done the ATV tour and liked it.
Or you can just walk into town. It is about 1 mile (15-20 min. walk) to the main tourist area on Lopez Mateos..