I have often turned to the Scottsdale Athletic Club for some holiday activites for my daughter especially in the summer when she is most bored and likely to get into trouble!!
They have some great summer tennis camps - on some of the days they will bring lunch in otherwise you can 'brown bag' it. Most of the classes span a full work day (for those parents out there! =0)
What was important as well - my daughter still recommends it as well!!
Here's a link to their Grand Slam Camps:
http://www.scottsdaleresortandathleticclub.com/sac/summercamp.html