Drive to Robbers Cave State Park. I approached from the southwest, through the Ouachita Mountains. It was early November, peak season for leaf colors, and the hillsides were a riot of red, yellow, orange, and dark green. I stopped for photos alongside the breathtaking Sardis Lake. The countryside really is very pretty, and much hillier than the surrounding terrain in any direction except the north, so if you are approaching from any other direction, the hills will be a welcome surprise.
Robbers Cave is a great place for hiking and rock scrambling. They also have lakes where you can rent canoes or kayaks (though not in the winter). Camping in the state park would be ideal in nice weather, though it was cold enough when I was there that I chose to stay in a motel in the nearby town of Wilburton. I ate at a pretty generic Mexican restaurant in town, nothing special. Don't know if there are any better options. Main Street Bakery is highly rated but is closed on weekends, so I didn't get to go.