Museu de Arte Moderna has a changing display of avant-garde exhibits (and erratic opening times). The hillside sculpture garden is a pleasant place to take a breath and enjoy the fine bay views. Take a taxi here, as it is off bus routes and the desolate walk is known for tourist muggings.
There has been quite a bit of renovation going on at the museum in the last few years, so it is a good idea to check if it is open and what exhibits are on display before going.