Grand Bahamas (Freeport) - Here, I've visited the Dolphin Encounters trip. They take you on a Air Conditioned Bus to the site, then you sign in and get on a boat for a nice boat ride to the dolphis, and you get in the water.. the dophins swim around you.. get you wet.. and you get in the platform and they swim up and you can touch them and rub their fins.. It was a fun trip.
Key West - not much really there to do, I've vacationed there and there really isn't much you can't do in any other US city.. so I would get off the ship, go see the standard Tourist attractions and bars..
Cozumel - if you are certified diver, Dive! Dive! Dive! One of the best diving spots in the Caribbean if not the world... If you are not certified, then get certified before going on the cruise. It's not hard.. really!
Costa Maya - It's not the best place see the Mayan Ruins. Take a trip to see the ruins... They are fantabulous!
Make sure you book ahead. And while booking an excursion trip through the cruise line is more expensive than doing your own booking, you are better off going off in a group from the ship so that you have at least others to lean on in a foreign country. Be careful and don't give a single dollar to any of the pan handlers.. once you give one.. they will mark you and everyone else will come begging.
Enjoy your cruise.. Cruising is fun!