Camp Wild at Dhauj organises Zorbing and is a literally the closest adventure activity you can pick up around the city. Weekend or even day trips to Dhauj are a great idea because of the beautiful rocks surrounding the area, where you can also try a couple of other things like rock-climbing and rappelling.
PS: Their obstacle course is also wildly fun.
Distance from Delhi: 40 kms
Price: On request
Time Taken: 1 hour
Find more here.