We like to stop off at a few other places on the drive down. We'll spend 2 or 3 nights in the other keys, which are more laid back. KW can get pretty loud at night, which can be fun, but with us traveling with the kids, it can get to be a bit much.
We usually book a fishing charter in Islamorada, then spend the night. It's a lot different from fishing up north. We take our catch directly to a restaurant and have them prepare it for us.
It sounds corny, but our favorite thing to do at night in KW is the ghost tour trolley. There are no 'jump scares'. It's more about local folklore and actual historic events. The history of KW is really interesting.