Close to Punta del Este, you have "El Jardin de las Esculturas", a sculpture museum-garden and atelier of Pablo Atchugarry, a world wide well known uruguaian and famous artist (sculptor) he has the same space at Lecco, close to Milan, Italy, but he comes to Uruguay, every summer from december to april to work with great peaces of marble of Carrara, brought of course from Italy, and chosen by himself. www.pabloatchugarry.com
Its a beautiful place and there are always art exhibitions of young uruguaian artists, supported by Atchugarry.
Ruta 104, kms. 4,5 (half an hour from Punta del Este, by car)
You have also de Museo Rally, also with sculptures, very nice place to visit, I think opens during weekends. It's located in one of the best neiborhood in Punta, called Beverly Hills, because of the great mansions.
If you like to be oudoords, you can visit the Arboretum Lussich (10' from PDE) is a reserve with trees from all over the world, owned and created in 1896 by Antonio Lussich, also famous writer of Los Tres Gauchos Orientales, classic book in Uruguay. Its beautiful for walking, taking pictures and bird watching. Great view of Punta del Este, too.
If I think something else I will write again.