If you don't have a car, here are some proposals for walking excursions:
1 - Walk down to San Biagio, along the romantic country road that passes under the San Biagio gate. To go back, reach the old cemetery, then take the road that leads up to the panoramic road called Via dei Filosofi.
2 - Walk down to the Chiesa delle Grazie. Take the first part of the San Biagio road (see point 1); then, at the chapel corner, turn right towards the Santa Chiara cemetery, and reach Via di Canneto. Follow it until you cross via Calamandrei, and continue along this main road that leads to the church. To go back, cross the town lengthwise.
3 - Walk to the Madonna della Querce, along the San Martino road that starts behind the bus terminal. To go back, follow the Martiena road across the fields.
4 - Long walk to Monticchiello. Take the road to Pienza, then turn left and take Via di S. Bartolomeo (about 2 hrs 30 one way).
5 - Long walk to Montefollonico. The country track starts at a farm in Via delle Colombelline (Via di Canneto). About 3 hrs one way.
6 - To the Convento dei Cappuccini, starting from Villa Bianca (road to Chianciano).
7 - Two short urban excursions: on top of the City Hall tower (Piazza Grande), and then visit two very interesting wine cellars, Contucci (entrance through Palazzo Contucci) and Redi (entrance through Palazzo Ricci).