When importing activities can you use an external id?
At first, I thought you meant importing activities and joining them to contacts with the contacts' external IDs.  This is the most common way I do activity imports.

However, reading closer, it sounds like you want to have an external ID field for the activity.  You'll need to create a custom field for this.  Also, you should remember that your custom field will not do the same magic as the contact external ID field: nothing will enforce that the value is unique, and nothing will automatically match activities based upon this field.

It still might be useful for cross-referencing your imported activities with the source, but you'll have to apply your own logic to the field.