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Obviously, the main sports are water based. Snorkeling, scuba, kitesailing, windsurfing, surfing,...the list goes on. Around Kihei, there are some good beaches for the beginning surfer and along the main drag (S. Kihei Road) there are some places to rent boards and arrange for an instructor. This is a great way to get kids as well as adults involved with the sport as the waves are usually very small.
If you wish to do some scuba diving not attached to a tour, you can bring your gear from home and do a shore entry at Ulua beach in Wailea. Much to see diving up and around a nice outcrop of reef to the right. You won't be alone as many a divers come here daily. You will need your certification card to rent a tank at a local dive shop.
People who like to bike are well served in Kihei by South Maui Bicycles. They rent Trek bikes, but one should bring along personal bike shoes and pedals and possibly even a helmet (although one is included in the rental). An economical way to rent is to get a full day at noon; bike that afternoon and the next morning. Mornings are much better for riding as the tourist traffic doesn't emerge until later in the day and it is cooler.
If you are a tennis enthusiast you should try out the Tennis facility located at the Hyatt on Kaanapali Beach. The facility is exceptional with everything you will need to fully enjoy yourself. Tennis shoes and rackets are provided if you didn't bring your own. The facility and the mountain view as a backdrop is something that you won't find in too many places. You don't need to be a guest to use this facility and the prices are very reasonable ($30 for a 1 hour clinic). On South Maui there is the Wailea Tennis Club that offers a free 1 hour Monday morning clinic for Wailea guests and 1 1/5 hour clinics for $35 and mulit session clinics @ 4 for $40 and 7 for $70 on specific dates.