We cruised to Alaska a few years ago and did our own excursions in every port. The hiking trails in Skagway and Juneau are lovely and I highly recommend them. As for the bigger excursions like dogsledding and glaciers, we have those things at home so we skipped them in Alaska.
KETCHIKAN
We procured a walking tour map from the tourist information desk and did the whole thing, stopping at the Totem Pole Museum, Fish Ladder (they look different in Alaska than they do here), Married Man's Trail, and spent lots of time in the quaint little shops around town talking to locals and learning a bit about their culture. We bought Alaskan-made totems (with coloured ribbon around their necks and the Made in Alaska logos on them) and a REAL ulu knife and cutting bowl (~$60 with a proper blade and carved handle from the Blue Heron store next to the radio station; not the $10 ones you see in all the other gift shops - those ones aren't really meant to be used). Possibly the best souvenir we bought.
Edited to add: There's a popular lumberjack show in Ketchikan. Not sure if it's any good or not, but you can easily get tickets right at the door. It's really close to where the ship docks. We skipped it and opted to spend more time relaxing on a bench and watching the sea planes and sailboats.
JUNEAU
As a Girl Guide, I couldn't resist and walked tot he Girl Scout headquarters there... a wee little building in the middle of town. Lovely. We took the Mount Roberts Tramway to the top but the trails were closed due to snow. Bah... I can handle snow... but alas, they still wouldn't let us. The tram was certainly lovely and the view from the top is spectacular. We did another walking tour here, stopping at many places merely for photos but others we actually went into. The Alaska State Museum is an easy walk from both piers and we spent a good chunk of time here learning about the Alaskan culture and art.
SKAGWAY
This is such a beautiful little town; brightly coloured buildings with a backdrop of mountains. Stunning. It's a bit of a walk into town but not too long and the ship we were on had trams. The White Pass and Yukon train is another attraction on the 'awesome and must recommend to everyone' list. We didn't think we'd enjoy it but the whole thing was breathtaking. (And we live near the mountains, albeit the Candian side.) The train station is immediately on your left as you enter the town. We also found some really nice hiking trails and a cute Trail of '98 museum on the walking tour. (Yes, we love our walking tours...) Oh, and if you get off the ship first thing in the morning when it docks there are some sales in town for the early birds (before 9 AM, I think). At least there were when we went.
Anyway, there is so much to see and do on your own, even without booking a tour. Enjoy the trip. Alaska is stunning!