I consider Puerto Penasco a very cool place, but if you go there expecting a lot you'll probably be disappointed. It's a humble Mexican fishing/tourism town with lots of rough edges and a few flashes of quasi-elegance and class, sometimes all within a few feet of each other. It's a place to hang out, relax, poke around and explore, and take advantage of the local cuisine and culture. It's not New Orleans or La Jolla and does not offer great art galleries, antique shops or music. Rocky Point has all of those things, but they lack distinction.
If you've been to lots of seashores in lots of places, Penasco might turn out to be a real yawn. But for a Midwestern transplant like me, everything about the Sea of Cortez is fascinating. That includes the sea life along the shoreline, the docks, the boats, the fishing industry and the sea itself. Cet Mar and Cedo (mentioned above, both located at Las Conchas) are worth visiting if you like ocean stuff. There are quite a few good restaurants serving dishes you probably don't eat at home. There's a generally upbeat, party atmosphere around town. For me, it's about the ambience of both the sea and Mexico. Not all of it is necessarily good - you might encounter a dozen soldiers packing assault rifles outside the grocery store, and Mexico's concepts for zoning, amenities and municipal services wouldn't fly in Minnesota - but all that just adds a slightly exotic touch that makes the place more interesting.
I enjoy shore fishing and will go deep sea fishing again now that I've tried it and found it exciting, but that's not for everyone. Some people seem to go on vacation looking to do the same things they did back home - play golf, drink, etc. I go there to experience what I don't have at home.
If you try visiting Cedo and Cet Mar at Las Conchas, you will probably be asked at the guard gate which section you're staying in. This is something new in the past couple of years. Used to be if you're a gringo, they just waved you through, but nowadays they're taking a harder look at everyone. I'm guessing they'll let you in if you tell them you're going to Cedo, but I can't promise that. (Cet Mar is before the guard gate).
If you think you might want to visit Penasco again some day, I would suggest looking into a house rental in Las Conchas. I much prefer a separate house to the rack-and-stack stuff like Las Palomas. PM me if you want to follow up on that idea.