Before I got my HTC EVO, I'd heard of Geocaching and even tried it a few times with a motorcycle GPS I had with poor results. I gave up after that and didn't look back until recently when I found an app called c:geo.
c:geo is an unofficial, free client for Geocaching.com and is considered by many (if not most) to be superior to the $9.99 application offered up as the official client.
My first hunt using this app was a bust, but I've since found little canisters and a box of trinkets. Even when you don't find something, it's usually still at least an interesting diversion and a bit of exercise.
c:geo requires a membership with Geocaching.com, which is free for access to most caches.
If you're looking for an activity to do with your HTC EVO 4G or 3D that will get you off of the comfy couch and out exploring the real world, this could be the app for you.