There's a lot of fine dining in Cabo. A good place to start is at a lot of the hotels. The One&Only Palmilla, Las Ventanas, Cappella Pedregal, etc all have some of the top restaurants. Also along the marina or around restaurant row you can find some spots.
If you have a car, I would also check out San Jose del Cabo. Places like Tequila and La Panga Antiqua are very nice. Also Mi Cocina in Casa Natalia is very good and upscale.