Updated: The solution I first posted (below) was for the unique entries that match 1 parent entry. This query should pull all unique entries for your channel:
<ul>
{exp:channel:entries channel="activity"}
{exp:query sql="Select distinct t.title related_title, t.url_title related_url_title
from exp_relationships r join exp_channel_titles t
on r.rel_child_id = t.entry_id
where rel_parent_id in (Select entry_id from exp_channel_titles where channel_id = 1)"}
<li><a href="/locations/{related_url_title}">{related_title}</a></li>
{/exp:query}
{/exp:channel:entries}
</ul>
Replace channel_id=1 with your channel's ID. Or use:
Select distinct t.title related_title, t.url_title related_url_title
from exp_relationships r join exp_channel_titles t
on r.rel_child_id = t.entry_id
where rel_parent_id in (Select entry_id from exp_channel_titles tt join exp_channel w
on tt.channel_id = w.channel_id where w.channel_name = 'activity')
Hopefully that works. The only site I have handy that uses native relationships is a 1.6.x site and the table/field names are different, so I'm writing the queries one way and then fixing them.
As was suggested in another answer, Playa offers many more options for this sort of thing, and conversion instructions.
First posting, that pulled related entries for 1 entry.
<ul>
{exp:channel:entries channel="activity"}
{exp:query sql="Select t.title related_title, t.url_title related_url_title
from exp_relationships r join exp_channel_titles t
on r.rel_child_id = t.entry_id
where rel_parent_id = {entry_id}"}
<li><a href="/locations/{related_url_title}">{related_title}</a></li>
{/exp:query}
{/exp:channel:entries}
</ul>
The exp_relationships table is pretty straightforward.