I grew up in Olympia, and I couldn’t move out of town after high school fast enough. So my opinion of the city’s a little, let’s say, biased. I’m now in Seattle.
It’s very nice, but this time of year it’s also very, very, very crowded. St. Helens is definitely preferable in terms of lower tourist volume, and I think it’s just as cool, for what it is.
Wolf Haven is neat (it’ll take a full day to get the overpowering scent of wolf musk out of your nostrils), but it’s like 45 minutes away, so account for the drive in your schedule. You might also consider Northwest Trek, if you’re into that sort of thing.
The Thurston County Fair was kinda lame when I lived there. Puyallup was much, much better.
The Capitol Campus is quite lovely, with nice architecture and good gardens. It provides grounds for a nice afternoon walk if the weather is decent and you’re not doing anything else. The Capitol Building itself has been used by Hollywood as a stand-in for Washington D.C.