We did this cruise last year, so I'm happy to share what we did.
In Key West, upon getting off the boat, we first visited the Pirate Soul Museum, which was a HUGE WASTE of money. I'd avoid that at all costs. Sorry Pat (Croce, who is a big name here in Philadelphia), but it was not what it's built up to be. We ended up walking around (I'd been there several times before for business -- that sounds funny, doesn't it? One doesn't equate Key West with business) and visited the Hemingway House, which I'd been to previously. I am not a shopper, but I enjoyed looking in the various shops at some unique local crafts.
Key West is also a good place to stock up on things you may have forgotten at home, as there's a CVS within site of the ship. Don't be surprised to run into Cast Members doing the same thing!
This year, we'll do the Old Town Trolley, visit HH again, and the Truman White House (been there before and just love it). Also, PLAN A STOP at the Blonde Giraffe (there seem to be several locations) for Frozen Key Lime Pie on a Stick. It's far better than anyone would believe possible.
In Cozumel, we took the half day Mayan Ruins tour, which was really interesting, and then spent the other half of the day walking up the main shopping street until we found Pancho's Backyard, a delightful cantina at the end of the road. The food, service and atmosphere are all wonderful.
This year, we're heading straight for Pancho's. It's housed in a building with lots of little shops before you get to Pancho's. We need to stock up on more pure vanilla extract!
In Grand Cayman, we did the half day dolphin swim and visit to the turtle farm. LOVED BOTH! My daughter and I had swum with dolphins in Nassau but this was a new experience for my husband. Words don't do the experience justice. Afterward, we went across the street to the turtle farm, which I thought would be boring, but we had such a great time there. We ended the day with lunch at Margaritaville (don't do it, soooo expensive with the exchange rate and the food was unremarkable, which was a shock, as I've been to the chain before).
This year, we're not decided on what to do in Grand Cayman as yet -- so we're looking for ideas, too!