Sintra: Pena Palace, Cabo da Roca & Cascais (small-group day trip)
Climb to the candy-colored Pena Palace, a Romanticist fairytale castle floating on a forested peak above Sintra, then stand at Cabo da Roca, the westernmost cliff of continental Europe, before the seaside polish of Cascais. It's a UNESCO-listed day you physically cannot do from Lisbon's center on foot, and the single experience a first-timer most regrets skipping. The guided van solves Sintra's brutal timed-entry queues and, critically, guarantees you back to the ship.