Between Albany and Denmark there are heaps of places you can go.
West Cape Howe National Park
Parry Beach at William Bay National Park
right next door is Eagle's Nest Beach
Boat Harbor Rd off South Coast Hwy will take you to another nice beach.
If you've got time, take a drive past Denmark as there are a lot of tracks there. Broke Inlet (40km West of Walpole) is a great drive and takes you to a place where the river meets the ocean but is separated by a sand bank (very much like Moore River).
Also, East of Albany towards Mount Manypeaks is a great place too. I recommend going to the end of Nanarup Rd as the little pool NORTH of the beach is awesome (you have to walk there as vehicles are prohibited. Well worth it).
Further east you have Waychinicup National Park. There is a turnoff to the RIGHT on the way to Cheyne Beach that will lead you to some awesome cliffs. If the swell is huge, the smashing waves are a sight to be seen.
I suggest you go to
http://maps.google.com.au and turn on the PHOTOS feature. You will then see where others have been and it will give you an idea as to where you can go.