There are flights into Key West, but if they're cost-prohibitive, you might consider flying into Fort Myers and taking the Key West Express down. That's what we do; it's a ferry shuttle that takes about 3 1/2 hours. Once you're there, almost everything is within walking distance (provided you're staying near the center of the action and don't mind walking a bit).
We've stayed at the Crowne Plaza, which is in a great location, and a couple of B&Bs.
I LOVE Key West, mainly for its laid-back vibe, but I really enjoy Hemingway House, renting bikes or scooters, and bar-hopping.
February is a nice time to go, too -- not too hot and not cold.