Kealakekua Bay is the Big Island's largest natural bay, which among other things means that it has historically received quite a lot of attention. Sea life is robust here, meaning that this area was long appreciated as a productive area for food. This is the site of the Hikiau Heiau, which is dedicated to Lono, the god of agriculture, fertility, music, and dance. Hawaiians traditionally commemorated the beginning and end of the winter fallow period, the Makahiki season, and the work that Lono did to ensure productive crops in the spring.
Of course, a large bay is also bound to catch the eye of any sailor, and so it did for Captain Cook when he landed in 1779. Cook, likely for navigational reasons, chose the same bay where the Hawaiians worshipped Lono, and whether because of weather, winds, or his own itinerary, he also happened to land near the end of the fallow period. It was easy for the Hawaiians to conclude that this visitor was, in fact, Lono come to restore the land's fertility.
While it may sound nice to be thought of as a deity, in fact it is a difficult standard to uphold, especially if you are unaware of the many traditions and laws of those who are trying to worship you. So it was with Cook, whose crew of sailors was insensitive to the native customs; the Hawaiians noted that these newbies could violate a kapu, or taboo, without incurring divine punishment, or that Cook himself was clueless about the customs that he, as a god, was supposed to appreciate. Add to this disillusionment the inevitable conflicts that arise when a group of surly, diseased, and reckless sailors wade into a native community, and the writing was on the wall. In this case the final straw was a stolen rowboat. Cook went ashore to speak with the chief and retrieve the rowboat, violence erupted, and Cook was clubbed and stabbed to death.
Thus Kealakekua Bay State Historical Park is not only the site of the Hikiau Heiau, it is the site of the Captain Cook memorial. Unfortunately, and perhaps wisely, this memorial is located across the bay and is difficult to reach; the best way to get there is by kayak, because the walk involves some rock hopping, scrambling, and maybe some swimming.
On the other hand, swimming, snorkeling, and kayaking are undoubtedly the best ways to experience this bay, which is also a Marine Life Conservation District. You'll see a very healthy population of sea life underwater in this protected area, and you'll have a fair shot at seeing the spinner dolphins that frequent this area as well (a benefit of protecting ocean habitat). Kayaks can launch from the beach or, if the gate is open, from a pier area just south of the entrance to the park.
The day use facilities include a picnic pavilion, restrooms, and outdoor showers. The park is open during daylight hours, and it is free to access.