La Ronge is where Saskatchewan changes character. South of here, the road has already left most of the prairie behind; around town, the Canadian Shield begins to show itself in rock, spruce, islands, and cold northern lakes. The result is less a sightseeing town than a practical base for wilderness.
That base is useful. Lac La Ronge Provincial Park begins at the edge of town and opens into almost 100 lakes, old fur-trade canoe routes, campgrounds, and long forest trails. Nut Point Trail is the local hike to know if you want a serious day on foot without disappearing into the backcountry.
The wider area has one exceptional heritage anchor: Holy Trinity Anglican Church at Stanley Mission, the oldest standing building in Saskatchewan. It is not a casual walk from town, but it belongs to the same Churchill River travel world that makes La Ronge worth considering.