Yes, we've done the Conch train. I've been to KW more times than I can count. (When I was little my dad used to cheap out, we would ride behind the conch train, following it in our car with the windows down listening to the narration!) I LOVE KW. Its an unusual place though. Quirky. I think as long as you know what to expect you won't be dissapointed. There are lots of bars and a somewhat adult/mardi gras(minus the beads)/party feel to it. The conch train is a lot of fun, takes you all over the island and tells you the history of the places you see (Hemingway house and southernmost point for example). It is a bit pricey but you really should do it once. The whole ride takes about an hour, IIRC. They even stop at a shop for a Pie break (more info below) Sunset at Mallory Square (separate event) is awesome. Not just the beautiful sunset, but all the events going on around you (fire jugglers, the iguana man, people balancing stoves on their heads, and a craft market (cool handmade jewlery and things like hand painted shells and ornaments, etc.)
Anyway, back to the topic, read more on the Conch Train here:
Conch Train
Kinos are awesome...they are CHEAP, CUTE, and LAST FOREVER. They are only open for a short while on Sundays (they day we will be there), and only open special on Sunday if a cruise ship will be in port. We plan to call them in advance to tell them there will be many customers on the Magic to make sure they open that day (they are normally closed on Sundays). The shop has open manufacturing areas so you can see them hand making the shoes right in front of you! Check out their website to get a better idea of what the shoes and shop are like:
Kinosandals.com
BO's fishwagon...straight up, it's a dive. A shack with character, if you will. But the fish sandwiches ROCK.
There's also a Hogs Breath there, Dizzi you and hubby may enjoy that!
Key Lime Pie is great...VERY tart! Very, very tart. While I am usually a pie purist, I have to say frozen Key Lime Pie on a stick covered in chocolate is AMAZING!!! Many of the kitschy souvenir stands have it.
I could pull together a guide of must see places and things to do in KW for us all to reference. I have to finish my TR first though...(good thing we have some time!)