For reference, you can take a cab to Atlantis for $4/person each way (ask them to drop you at the Royal Towers; it's much closer to the exhibits). And then a tour of the Dig is $35 for adults and somewhat less for kids (I'm thinking $20 or $25). Or you can do the self-guided tour, which is basically just a pass that allows you to walk through the Dig, for $25 for adults, less for kids.
The Dig is very nicely done; it's like the most elaborately themed aquarium you'll ever see. Everything is designed to look like you're seeing the ruins of some ancient lost civilization, including sunken sculptures and buildings. The area you walk through has strange ancient machines and glowing symbols on the walls. Whether it's worth $35/person is a bit of judgment call. Overall I felt like Atlantis was very well done across the board but seemed overpriced for what you get. The water park is a really nice water park, but not $150 nice, given that Disney's water parks are like $55 or so. It is unique, though, and thus can charge what the market will bear.
One thing you can do is just take a cab over and visit the free sections of Atlantis, which is basically the lobby, casino and shops. You can decide once you're there if you want to pay to do the Dig, or whether you'd rather explore Paradise Island. There's another market over there with local crafts which tends to be a little less crowded than the Straw Market near the cruise terminal, plus a nice view walking around at the harbor. You can take a cab out to the Cloisters and walk around for nothing. Paradise Island is much more upscale than downtown Nassau and much more pleasant to just walk around. There aren't generally lots of random hawkers trying to sell you things. It's nice.
http://www.practicalparadiseisland.com/Cloisters_Paradise_Island.html
If you do want to walk to the harbor, I recommend exiting Atlantis via the Coral Towers exit, which is closer to the harbor and the shopping area, or take a very short cab ride from the Royal Towers to the harbor.