We tend to go on our own if we feel the port is 'safe' and if the place we want to go is easily accessible. We did the Mexican Riviera (same ports as the Magic cruise) in January 2006 and only booked the one zip line excursion in PV because it was the same price doing it through the cruise line as booking ourselves. In Mazatlan we walked off the ship and negotiated a local city tour for cheap, and in Cabo we just walked off and around the tourist circle and to the beach.
In many foreign countries it is often very easy to walk off the ship and do things on your own with a little research and advance planning. We have done a LOT of touring on our own at cruise stops in Monte Carlo, Athens, Barcelona, Oslo, Copenhagen, Singapore, Hong Kong, Okinawa, Maui, Kauai, Juneau, Sydney, Melbourne, etc. in addition to various Caribbean islands.
Generally, if a place is difficult to reach from the port, or we're not comfortable moving around the area on our own, then we take a ship's tour. But if we can walk to public transit, or even right into downtown, or organize a similar tour on our own for less $$$, then we prefer doing that.