If you fancy getting out of Mumbai for the day, Elephanta Caves makes for a nice side trip. It is a network of intricately sculpted caves, dating back to the 5th century CE, dedicated to Hindu and Buddhist deities. The main cave spans 40 metres and is composed of a large open hall flanked by carved pillars and reliefs of Lord Shiva. Elephanta Caves can be reached via ferry from the Gateway of India, which is two kilometres from The Oberoi, Mumbai.
Note: A UNESCO world heritage site.