In reply to mburrows:
in French, there's a SAC selected guide to the valais which is pretty recent (2017) as well as the SAC online portal which has already been mentioned.
https://www.sac-cas.ch/fr/shop/livres/detail/alpes-valaisannes/7987/
From Nendaz you will need to drive a little bit but one hour will get you to a lot of places. Arolla, val d'Anniviers (Zinal/Moiry) and the Saastal all have lots of options as does the val de Bagnes.
For example La Ruinette (3875m) via the SW ridge from Chanrion is a nice PD which would be a good introduction and without too much objective danger.
Another good introductory peak is the traverse of the Blanc du Moming from Mountet.
Neither are ultra classic routes but they involve alpine route finding and terrain and will be far less frequented than something like the Pigne d'Arolla or the Bishorn.
For one day rocky routes there are plenty in the region as well - the Couronne de Bréonna and the Aiguilles de la Lé being classics.
Also don't neglect the idea of taking the bus/train and doing traverses from one valley to another which opens up a lot of nice options.
Post edited at 06:38