We loved hiking here. It was far less crowded than other places we visited. You can combine it with a visit to Uchisar Castle, which isn't much of a castle, but the views from the top are worth the admission price.
To be honest, we got a little lost and didn't make it all the way to Goreme from Uchisar; instead we wound up in Uchisar again! But there was so much of interest on the hike that we didn't mind at all. There were some interesting cave houses, with satellite dishes and balconies with potted plants and terraced gardens. There was a farm along the way, with some of the hugest squashes and bluish-colored leafy greens I've ever seen (it reminded me of the Gilligan's Island episode where the castaways planted radioactive seeds!), where the owner came running out to give us free tomatoes from her garden. There were spectacular rock formations and, of course, the pigeonholed caves that gives the valley its name.
This hike was one of the best things we did in Cappadocia!