We did the western last fall and are doing it again this October. We missed Grand Cayman last year due to hurricane Ivan - we will be doing Stingray City with Capt. Marvin this year (
www.captainmarvins.com).
For Key West, you dock right in town near Mallory Square and it is easy to get around on your own. Many attractions are within walking distance. There is also the Trolley and a bus system (Trolley costs more, but is more picturesque - bus gets you there for less) if you want to go a little further afield of just don't feel like walking. There is a lot of information on-line. If you like to shop or want to bar-hop (Sloppy Joe's, Margaritaville, Hogsbreath Saloon, etc.) you can easily walk. Since my DH and I are gardeners, we visited a "secret" garden there -the walk through the residential area was beautiful - lovely old houses, huge, shady trees, etc. -- Basically the summary of all that is that you really don't need to book an excursion at Key West unless you really want to do something outside of town (like parasailing, snorkeling, etc.)
For Cozumel, there isn't that much near the port except for shopping, restaurants and bars. Cozumel's claim to fame is the fantastic diving and snorkeling available there (and some good beaches). Last year, we did a snorkel trip with Eagle Ray Divers (
www.eagleraydivers.com) and had such a wonderful time that we have already booked the same trip for this year. If you just want to do a beach day, don't bother with an excursion - look up info on some of the beaches (Paradise beach, Mr. Sanchos beach, Chankanab Park, etc.) and just take a taxi - there is a taxi stand right by the pier. If there isn't a taxi stand at your destination, just arrange with your driver a time for him to come back for you. Since most of these destinations are popular with cruisers, there will probably be taxis waiting there. Eagle Ray Divers took care of calling a taxi for us for our return to the ship.
I hope that helps,
pdarrah