Very close to Wallblake Airport, there is a "downtown" section of the island of Anguilla where you will find some stores including a regular supermarket. There are also some banks. I heard Anguilla is a kind of "tax haven", but I'm not really sure how that works.

Also in the general vicinity of the airport and downtown is the Wallblake House and church historical site. Trip Advisor has a short list of Anguilla Tourist Sites in The Valley. These photos were taken in 2009.