1. Wandering around the mud hills. Like many places they're best around sunrise and sunset. They're also really neat in the middle of the night (or at 7:30, it gets dark early in winter).
2. The views from the Wind Caves trail. The wind caves themselves are also pretty neat.
3. The drive through Split Mountain. 90% of it is really enjoyable and scenic. The road is different every time, but typically there are a few spots where someone gets out of the truck and we either proceed very cautiously over some minor obstacle or back up and take a different route.
4. Solitude. Nobody else here on a Monday night/ Tuesday morning. On Saturday nights there have been only a few other groups.
5. The Slot. While it's not in the Split Mountain area, it's on the way there and back, and it's worth the short drive and short hike to check it out.
There are several options for camping in Anza Borrego. There are regular campgrounds with numbered campsites, bathrooms and maybe even running water (can't say for sure since I've never stayed at one). Some of these sites can be reserved months in advance. There are also a number of "primitive" camp sites which are free, first come first served, and have a pit toilet. The final option is backcountry camping where you're allowed to set up camp pretty much anywhere near a dirt road. I can't recite the exact rules from memory, but follow the same rules I follow when backpacking - try to find a previously used area to set up camp, don't destroy things and don't leave crap behind (we always leave with more trash than we came with). Fish Creek Wash is one of these backcountry areas.
For those of us coming from "North County", it's Highway 78 East, a right turn on paved Split Mountain Road in Ocotillo Wells, then another right turn into Fish Creek Wash. Most people camp in the wide wash after passing through Split Mountain (near the Wind Caves trail) - it's only a few miles from the paved road, but feels longer for those of us not super experienced/comfortable with "soft roading".
Out here I've seen Wranglers, Cherokees, Tacomas (2wd and 4wd), 4runners, a Durango, a Forester, a Crosstrek and wait for it... a Ford Festiva. I suppose the short wheelbase is helpful. I've driven here in 2wd and 4wd vehicles and in my experience 4wd is not needed. I think ground clearance is needed, but I hate the idea of a large rock scraping the undercarriage of the truck when I'm 5 miles back a dirt road with no cel service. I think all terrain tires are great insurance against punctures but the Festiva, Subarus and even our Tacoma have regular highway tires (they're too new to get rid of, but they do make me nervous).
Every one of these cars has a driver, with varying dirt road driving experience, varying level of risk they're willing to accept and varying common sense. A capable vehicle doesn't magically get you from point A to point B no matter what's in between.