Margaritaville is OK if it is busy, if not it will be boring. It is of course expensive. A few blocks away yoy will find Carlos and Charlies and upstairs from C&C is Senor Frogs. Frogs is usually lively if there are ships in town. Say hello to the MC Daniel, he is my nephew.
You will be perfectly safe in Cozumel, take a walk further back in town and you will find better bargains. DO NOT listen to Cruiseline warnings that it is only safe on the waterfront...that is BS. I am a single female living here over 6 years and have been safe walking all over.
It depends where your ship docks as far as walking to town. If you dock in Punta Langosta you do not need a taxi. If you dock at the other 2 ports then it is a pretty long walk, about 45 minutes.
Have fun and enjoy our island!