You really should try Cheeburger, Cheeburger while there. It's not gourmet dining, but it's fun for a nice lunch or even dinner. We've stayed at the Sundial Resort which is very nice; the South Seas Resort on Captiva Island is very nice, too.
We've booked some shelling excursions -- some leave before dawn while others leave mid-morning. Most have snorkeling equipment you can use or you can just hunt for shells along the beach. These will take you to smaller islands in the Gulf to find shells.
We did an Everglades day tour on one trip -- it was a day-long tour through the Everglades region that was fun.
Be sure to check out the J.N. "Ding" Darling Conservatory -- they offer guided tours throughout the day that are worth the ticket price. You will see so much more on the tour than you would on your own.