In reply to The New NickB:
Train from the station to Brockenhurst is 15 minutes and puts you in the middle of the forest.
If you run to boscombe along the beach (about a mile) there are some sandstone "boulders" that are fun. Don't bother trying to surf, kitsurfing lessons in poole harbour however would be good.
Fantastic area for kayaking, good mountain biking either in the forest or Purbeck, some nice road biking if you head out the back of Bournemouth to wimbourne area.
Also loads of places to eat or get drunk if that's your thing.