Cozumel hands down. For the water sports and beaches. Our preference.
Key West has plenty of petty crime. It is the only place in Florida I have ever had my car broken into on a well travelled public street in daylight. Pickpockets abound. To be fair we are not as familiar with Cozumel as we spend our time on the water diving or on the beach.
So whereever you are it pays to be aware of your surroundings and keep track of your belongings.
Key West has some great places to visit for tourists; The Hemingway House, Audubon House, Sloppy Joe's, Mel Fisher's Pirate Museum, Jimmy Buffet's Margaritaville and tons of shops and other restuarants that cater to tourism.