Campos do Jordão State Park, usually called Horto Florestal, protects a large area of highland Atlantic Forest on the edge of town. Trails, picnic areas, lakes, and araucaria trees make it the best place to remember that Campos is a mountain destination, not just a winter shopping strip.
The park is large enough to justify several hours. Pick a trail that fits the weather and your knees, and bring an extra layer: the altitude changes the feel of the day quickly.