We almost never pay for excursions, preferring instead to do our own thing. Almost all the ports in the Caribbean have wonderful beaches and are easy & cheap to get to.
So whether it's cheap or expensive is a relative term to what you want to do and how you want to do it. Often times just a short taxi ride will get you what you're looking for without the high cost of an excursion. Besides, as you alluded to, most excursions are too expensive, too short, too regimented, and too crowded.
One of our favorite beaches is in St. Maarten. We just rent a car for about $45 for the day and do our own thing. Sure beats the high price for an excursion to the same beach.