oregon trail museum, there's some museums on the john day fossil beds. Sunriver resort has stuff if you need resort-type stuff (horseback riding is probably good at this time).
Newberry crater, etc.
I'd imagine you could cross country ski or snowmobile the entire week if you wanted to, lol
One of the little-known places I love is the Kam Wah Chung
building in John Day. Basically these two Chinese guys built a business near the turn of last century, which became a safe house and medicine shop. They eventually died and the building got boarded up, untouched for about 30 years. It got turned over to the historical society, and when they opened the door - the place was pristine, as if the Chinese men had only left for the weekend, not 30 years. Totally amazing guided tour, lasts about 1 hour. Make sure to check with the city to see if they are open for the winter.