The outer islands are snowmobile trips. You can drive a car to Madeline island. I wouldn't go unless I see vehicles already using the trails.
There's some other places on the shore that are easier access. I load up the kids and lunch. Take the family and ski over. Frog Bay and Raspberry bay are on the Indian reservation. You'd need permission to access it from shore but can get there from the water side.
Another trip is up the shoreline from Saxon harbor. Actually the whole shoreline is covered with rocky caves or undercuts. And they all drip water. Just takes a little exploration to find a nice spot.
There's a place just north of Duluth. I can't remember the exact spot though. Someone brought me there and I wasn't paying attention. Very easy one mile walk to some great caves. Farther north around Tettegouche is the BEST.