We cruised the Western in December 02 and did the following:
Conch Train in Key West and shopping: did on our own. Liked it, but would do Trolley next time so we could get off and on at interesting places.
Land and Sea Island tour in GC: did through Disney. Was a hurried experience, but a great way to see the whole island and the stingrays. AND, I didnt have to get in the water with them! I do NOT see what the hoopla is about swimming with those things!
Jungle Jeep Tour in Cozumel: did through Disney. What can I say other than this was the most awesome trip out there! The guides were funny, friendly, and not too bad looking...

, we got to see the "real parts" of Cozumel, and had a great lunch on the beach with only about 15 other people! It was like having a private beach party.
HTH, in all..I would say, do your own thing in Key West and GC, and try one of the excursions in Coz. I also heard (from WebmasterMichelle and CathyCanada) that the Fury Catamaran in Coz is a blast...I think we are going to try that one next time.
Lisa