St. James winery is about all there is to do there, but the wine is great
(and pretty cheap).
In Jefferson City, you could stop by my parent's house and see my dad's brewery and wine cellar full of homemade wine and beer, check out the brand new Wal-Mart on the East side of town, or go eat at the newly opened Buffalo Wild Wings.
If you haven't seen the capitol in Jeff City, it's pretty cool to at least stop and look at. The governor's mansion is right up the street. Your wife might like the governor's garden too if they still have flowers. Also there is some... interesting shopping on main street. I haven't really been to JC much in the past year, as I was living in Kansas and now Paris, but there used to be some pretty weird local shops.
My brother was shopping for some shoes in the shadey shoe store (if you go, you'll see it), he walked to the back part of the store, and he saw some old lady lying on a hospital bed in the back room yelling at the owners: "Get back in here and wipe my butt!" Very surreal but true story. Mellanby_equals_grit might know what store I'm talking about, as we both grew up in JC.
PM me if you need some more recommendations or have something specific you are wanting to see.