First, it seems to me he works. Take a look at his recent and upcoming movies in the IMDB -- I think he has made himself busier for the last few years, than ever before in his career.
When he's relaxing, he likes to play with the dogs -- he and his wife have, I believe, a considerable pack of them. I think he's involved in the gardening around his house as a hobby, too.
But most of all, and most famously, he likes to go out to his studio in the garage and draw "naked women", from live naked models. You can see some of his art work om www.peterfalk.com.