Everything is there- beaches, nature, history, art, and food the likes of which is worth the drive in and of itself!
Seriously, if you are ever in the Hamptons you HAVE to go to The Golden Pear for lunch. We had their Morrocan Lamb Stew and the Hunter's Meatloaf- both incredibly delish! (I'm kicking myself for not getting their cookbook... guess I'll just put it on the Christmas wish list.)
Honestly though, the posh shops and art galleries aren't the best part- the shore is! Even though it was too cold to swim, it was still so much fun to explore the rocks at Montauk Point watching the seagulls catch crabs and just take in a little ocean air. I just love being near the ocean.