Learn something new that you have always wanted to learn. For me it was learning to play a guitar. I already knew how to read music as I play the French Horn for seven years while growing up. But playing that for fun in retirement would drive my wife and neighbors crazy, so a Classical Guitar (nylon strings w/softer sounds) was my choice. I have been at it for about 3 months now and I am really enjoying it, I try to practice daily for 20-30 minutes, and I can now pick out a song or two, but still struggling with adding in multiple notes and/or cords, but it is all coming along. In time I might find a teacher, but so far, I am using books and the internet to teach me...
I have always had a lot of things I like to do that keep me busy, but if you are one who does not have a lot of interests that you are already doing, then work at finding things you want to do. It may require going somewhere to learn how to do some things, but at this point that just adds to the fun of being retired...
Enjoy, have fun and Congratulations...not everyone gets to retire!