On one of my first trips to Oregon, my uncle took us to Honeyman State Park. It is, without a doubt, my favorite place on the Oregon Coast.
The dunes are amazing, and the freshwater lakes are perfect for swimming. You can even rent small boats in the day use area.
Speaking of rentals, you can now rent sand boards (or whatever you call them.) Basically the sand version of snow boards.
If you're in the Florence area, swing by Honeyman. Bring some food and a couple beers and make an afternoon of it.