Surfing...not so sure but kite surfing is big down at Jebel Ali beach. I know sailboats are more than reasonably priced and you do see them on notice boards in supermarkets now and again when expats leave. If you are into the outdoor stuff you could buy a dirt (or would that be sand??
) bike, also quad bikes are popular. All are cheap here and also can be bought second hand cheaper again. Safety stuff to go with them I'm not so sure as I see people riding them down main roads without helmets
(which is illegal BTW) but then again it doesn't mean you can't buy them...people after all don't use seat belts and perch their kids on the dashboard (new type of airbag?) here
Also if you get a 4wd you can go dune bashing or drive to other Emirates etc. There is enough here to keep you occupied....near Jebel Ali Beach there is a go-karting track, a shooting range and a golf club (heaps of golf clubs around Dubai actually).You could also do a diving course and go diving!