Cycling along the Nordsjøveien from Egersund to Hellvik is a wonderful trip, which spans 12 kilometres on a well-prepared hiking/gravel road. There are many great checkpoints and picnic areas along the way.
If it's too long to ride back and forth, a great alternative is to turn around by Maurholen (an old train station with waffle sales in the summer and a beautiful outdoor area) or take the train one way. The route is part of the North Sea Route and is well marked. Follow FV44 from the centre to the station, then take left and follow RV42 in the direction of Eigerøy. Use the cycling path and join the street up the hill all the way until the cross. The main cycling trail starts right after you pass under the RV42. Cyclists are expected to respect hikers that often enjoy this trail as well.