There is quite a bit of shopping right near the pier. My husband and I just walked around the shops for a bit and then took a cab to Atlantis.
Atlantis is absolutely unbelievable. Check it out if you can. There are organized tours for this as well, but it was much cheaper just to do it on our own.
A cab will cost you about $15.
We really loved Nassau and plan on going back. The people were extremely friendly and easy going.