The NMAC Foundation at Montenmedio is an open-air contemporary art collection in the countryside south of Vejer. It sounds unlikely, and that is part of the pleasure: large-scale works sit among trees and scrub instead of white gallery walls.
You need transport to get there, and it is best treated as a half-day excursion rather than an add-on after lunch. The reward is a completely different side of Vejer: rural, spacious, and quietly experimental.