I think there was an instance a few years ago where an excursion group was robbed in St. Thomas - if I remember right it was a Celebrity ship and Celebrity reimbursed all the affected passengers for their losses.
In St. Thomas they use so called "jungle taxis". There will be several at the pier. They will try to load the thing up before they leave Havensight. There is also a taxi stand at the beach, they will try the same thing. Magen's Bay is part of a park so in addition to the taxi fare there is a fee to get in, $4 I think.
Also, right at the pier there is a skyride to Paradise Point. We have never made it up there but I hear they have a killer adult beverage called the Bushwhacker.