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Loads. PM me for more details, but Lac de Hongrin, the Dent de Morcles and Lac d'Emosson are particular favourites of mine. The first two might be in Vaud, but they're close to the border between Vaud and Valais if they are. There's some good cycling around Crans Montana too (the UNICEF ride is worth doing if they run that again), and MTBing around Verbier and Champery if you're into off-road stuff.
Oh, and in bits of Valais, the Schwyzrdütsch/Schweizerdeutsch pronounce 'drei' to rhyme with the English word 'tree'. Madness, I tell you. Ordering three coffees never used to be this hard...