If you wish to explore beyond Cefalu you can head directly south to reach Madonie Regional Natural Park. Another option is to catch a train that takes you to Palermo, the capital of Sicily.
There is also the possibility of booking a few day trips out on organised tours. Ideas for this would include options to visit Mount Etna and Agrigento. If you wish to visit the Aeolian Islands you can do this quite easily from Cefalu as well. The sailings are not provided all year round so do check availability prior to booking your holiday if you wish to make sure you can do this for the day.