Cape Cod, Massachusetts Activities Willy’s Gym There’s no need to take a break from the gym just because you’re on vacation. Willy’s Gym is a state-of-the-art gym that caters to the Cape’s many visitors and includes a large lap pool, free weights and cardio room, racquetball courts, and even a climbing room. There are top notch trainers from numerous disciplines and great programs for kids as well.