Oh, I do like it around there. Haven't been for years...
You can also go to the islands by boat from Olhao, one of which is called Armona. The Portugese have houses there, and I remember a fantastic fish restaurant on the beach.
Above Olhao is very nice countryside.
I was there once in October with terrible weather so I got on the bus and ferry over the river and went to Seville in Spain. Amazing place. Also the place - forget the name - just over the border was great. Night market and true flamenco area.