My favorite day trip from Munich is to take the S8 southwestbound to the end of the line at Herrsching. Walk a couple hundred meters to the lakefront and board one of the stately paddlewheel ships which cross the Ammersee to my favorite untouristed Bavarian village, Dießen am Ammersee. Dießen is a popular destination for German weekenders, but it's not on the international tourist grid at all. Walk through Dießen up to the baroque-rococo Marienmünster Abbey (1730). Return to Herrsching by ship and take a taxi or bus, or walk three miles up a forested trail, to Kloster Andechs, where Benedictine monks have been brewing great beer since the 15th Century.
Or take S1 about 20 minutes from Hauptbahnhof to Oberschleißheim, and visit the magnificent, colorful Schleißheim Palaces, summer home of the Bavarian royal family. Aviation history buffs will enjoy Flugwerft Schleißheim (aviation branch of the Deutsches Museum), a short walk from the Schleißheim Palaces.
In Munich itself, the self-guided walking tour in Rick's Germany guidebook is excellent. It can take anywhere from two hours to two days, depending on your level of interest and curiosity.
For insight into Munich's dramatic role in the rise and fall of the Third Reich, visit the new NS Doku-Zentrum, which just opened last May. It's on Briennerstraße, on the site of the Third-Reich-era Nazi headquarters building. Führerbau (Hitler's office building, where the 1938 Munich Accord was signed) is next door, repurposed as a High School for Music and Theater. Historic Königsplatz is across the street. The City's website offers free downloadable maps and audioguides for self-guided walks tracing the history of National Socialism in Munich.
And Tom is correct -- Therme Erding is delightful. It's about 45 minutes from Marienplatz on the S2 to Altenerding, then about a 15 minute walk.