It depends if you want to head somewhere in the U.S. or to another part of the world. If you want to stay in the country, I would suggest my hometown of Breckenridge, Colorado.
It's a ski town in the Winter, and in the Summer, it has all those things you require. It's nestled in the heart of the Rocky Mountains, and only a 1.5 hour drive from Denver. You can drive 45 minutes south for kayaking. But right there in the county, there is cliff jumping, boating, hiking, mountain biking, and horse-themed trips.
If not Breckenridge, try some other Colorado mountain towns like Telluride, Steamboat, Crested Butte. All my favorites! I hope this helps.