The Lauterbrunnen Valley sits between Wengen on the Jungfrau side of the Alps and Muerren/Gimmelwald on the Schilthorn side.
This place is absolutely stunning! Even if there were no activities just "being there" is enough to satisfy me for at least a week.
What is there to do...seeing the town of Wengen and training to the Jungfrau and back will take the better part of an entire day.
In the Lauterbrunnen Valley I would rent a bike and take very pleasant rides through the almost deserted roads and just gawk at the most amazing scenery you will ever encounter. There are 72 waterfalls in the valley. There is also an entire waterfall within the mountain accessible from Lauterbrunnen...Trummelbach Falls. It's an enormous flow of melting glacier water that has carved gigantic paths through the mountains.
Muerren sits just above Gimmelwald and is connected via a nicely paved path large enough to accomodate a herd of cattle and a tractor or two. There is also a gondola that connects the two villages.
Of course from Muerren/Gimmelwald the Schilthorn is easily accessible by gondola or not-so-easy hiking trails...your choice.
Maybe you would like to spend your last night in Lucerne instead of Zurich. Lucerne has a wonderfully well preserved medieval center with the fast-moving River Reuss cutting a path through the center. You can get to the Zurich airport in about 50 minutes from Lucerne. It's actually a great alternative to staying hugely expensive Zurich.