There's no better place for rock climbing than Rio's lofty mountains along the coast. They are so diverse that no matter what your skills are you'll find a place to improve them. The Urca neighbourhood is very popular among climbers because of the numerous routes of various difficulty. There are multiple routes with anchors already installed in the rocks for sports climbing if you're not so experienced. If you have skills and experience, there are even more possibilities. For example on the north face of Sugarloaf Mountain (Pão de Açúcar), one of Rio's main attractions. Or the south face of Corcovado Mountain, which is one the most difficult. Then there's Pedra da Gávea where you can try a horizontal climb across the top of the mountain. There are plenty climbing schools and instructors that will help you to try out all of it.