there's a
Castle in Lexington where you can stay.
Post Castle
Keeneland is right down the road from it. it opens the Spring meet April 3rd. you could get a drink, bet on some ponies, tailgate, etc.
if you turn on one of those country roads by Keeneland you'll see some really nice country. head north-ish towards a tiny town called Midway. check out some horse farms, see what the sheik is doing, and some beautiful old stone walls.
it's postcard pretty up there.