Bodega Bay offers lots of free activities. Visit a nearby shop, go for a walk on the beach and breathe in some fresh air, or perhaps have a drive around the neighborhood! The top free things to do in bodega bay are listed below: Check out the areas where Hitchcock filmed The Birds while you're at Bodega Bay. Alfred Hitchcock's 1963 horror movie The Birds was based on a Daphne Du Maurier short tale.