Up the hill and around the corner is Saguaro Lake. I've never really considered going there without a boat, but my husband goes nearly every week to fish. One week we accompanied him and I was quite impressed with the dock at Butcher Jones. It is about a five minute walk to get there from the parking lot. There's a trail, but you should still watch out for snakes, tarantulas and other desert creatures. Even if you don't fish, it's a nice play with the kids, enjoy the lake, go on nature walks and just hang out. You can go swimming in the lake from the shore, but I prefer seeing the water from a distance. The great thing about the dock is it's partially covered and completely surrounded by railings, so you can let the kids run free. My little one likes to run, but with a pile of rocks, she'll sit forever and throw the rocks in the water, one by one.
Here's a map of directions to the lake and a map of the lake. Butcher Jone's is the northern most point of the lake. Pack a lunch and enjoy a picnic there or go in the evening to watch a beautiful sunset on the lake.