First Friday's are are a popular event during the spring and summer. The road just adjacent to the train station will be closed to road traffic and a stage will be set up next to the Sunrise Theater. Beer and Wine can be purchased as well as food, though picnic baskets are allowed as well. First Friday of every month starting at 4:30 PM until dusk. 
The Sunrise Theater is a historic local theater that offers mostly independent movies and special live events. They organize a number of local events including First Fridays. 250 NW Broad Street Southern Pines, NC 28387. 
Southern Pines has several local and state parks. Most are open year round, dawn to dusk.
Reservoir Park is by far the best with plenty of hiking/running trails, boating, picnic areas, and a disc golf course surrounding the town's former water supply.
Weymouth Woods-Sandhills Nature Preserve is a 900 acre preserve that is part of the North Carolina State Parks system. It has a number of trails for day hikes and horseback riding, as well as plenty of opportunities to see local wildlife.
The Sandhills Horticultural Gardens is a private 32 acre private garden not far from Reservoir Park. Affiliated with the Sandhills Community College, the gardens offer occasional events and tours .
Sly Fox - A british-style gastropub in easy walking distance from downtown. Great beer selection and good pub style food. 795 SW Broad St, Southern Pines, NC 28387. (910) 725-1621
The Bell Tree Tavern - Sports bar with an outstanding beer selection and nice back porch. Great place to watch a game and offers live music from time to time. 155 NE Broad St, Southern Pines, NC 28387. (910) 692-4766 
Chef Warren's - Classy modern dishes and great atmosphere. Be sure to make reservations. 215 NE Broad St, Southern Pines, NC 28387. (910)692-5240 
Rhett's - Upscale southern style food. Has an excellent patio for dining in warmer weather and occasionally hosts wine tastings. 132 West Pennsylvania, Belvedere Courtyard, Southern Pines, NC 28387. 
Ashten's - Has both a main dining room and a pub style dining room. Additional dining space in the basement. Great place for cocktails and Carolina-inspired pub fare with locally grown food. 140 E New Hampshire Ave, Southern Pines, NC 28387-5530. 910- 246-3510 
Betsy's Crepes - Hands down the most popular restaurant in the Pines for brunch. Get any crepe made any way you want at a reasonable price. Expect a decent wait on weekends. 127 SW Broad St, Southern Pines, NC 910-246-2406
So' Pies - A cheap alternative to the upscale restaurants and the drunk pizza place that Southern Pines needs. 130 A West New Hampshire Ave, Southern Pines, NC 28387 910-725-2092
Southern Prime - An upscale steak restaurant on broad street, serving some of the best (and certainly the most expensive) cuts in town. Great mixed drinks and wine selection as well. 270 SW Broad St, Southern Pines, NC 28387. 910-693-012.
The Jefferson Inn - Historic Hotel that offers great live music. Drinks are pretty bland and overpriced, but the atmosphere is great! 150 W New Hampshire Ave, Southern Pines, NC 28387 (910) 692-991. 
Wine Cellar and Tasting Room - Offers a good selection of wines at fair prices. Ask for glasses and you can enjoy your wine in their backroom or patio. - 241 NE Broad St, Southern Pines, NC 28387 (910) 692-3066. 
O'Donnell's Pub - One of the busiest establishments in the area. Soldiers from nearby Fort Bragg and Camp MacKall are in frequent attendance. 133 E New Hampshire Ave Southern Pines, NC 28387.
Neville's - Small "private club"/cigar bar serving mostly locals. Has great drinks if you don't mind the smoky haze. 133 E New Hampshire Ave Southern Pines, NC 28387.
The Bell Tree Tavern is also a great place to drink and watch the game. Live music on occassion.