Hummer covered it pretty well. Other places I'll add: 5 miles to the south is whitewater (po-dunk) with a turnoff into HWY 141 (gateway canyon) with a lot of mountain options as well - divide road, etc. There is also Dominguez canyon 10 miles south - desert wilderness with 30' and 50' waterfalls. My wife went over the 30'
10 miles west, there is Colorado national monument- in part. Monument road to get there originates in Grand Junction, with great trail access (hiking,biking,foot) there. The road goes on top of the red rock cliffs, with a lot of hiking opportunities like uncompadre canyon with it's own waterfall, and serpents trail. Eventually, the main road goes into a small high elevation community called "glade park". From there, you can access "pinion mesa" to the south (45 minutes from Grand Junction, high elevation forest, OHV okay) or a red-rocks wilderness area to the north around "black ridge" (40 minutes from Grand Junction) with a lot of juniper / cliff trail action (OHV ok). To the west, you have Fruita 11 miles outside of grand junction, a suburb really with (in some places) upscale, affordable homes.
Only half of the valley is occupied. The north half of the valley is adobe badlands. Prarie dogs, coyotes, rabbits, etc. One public BLM shooting range with good berms 1000 yard gongs out there (relatively well maintained). There is another BLM shooting range closer to the Colorado river on the east edge of town, though it isn't as cared for. One indoor range now, very nice, rifle/pistol 25 yards, $360/y membership. IDPA, USPSA, Cowboy action have a strong presence here at a private range in whitewater.
You know moab well of course. Into the bookcliffs you can get mountain access on baxter pass and on Dolores pass - 45-55 minutes from Junction.
Moab:

(For the record, that picture is to scale

)
On top of the colo natl monument (Liberty cap, hopping cracks in the rock)
Dominguez Canyon:
North Desert (By the bookcliffs, looking south-east towards Grand Junction)
Dominguez Canyon:
Baxter pass:
