Just got back from the 5/4 sailing of Conquest (yes, the one where the guy fell off). As avid snorkel/scuba people, I can unequivocally tell you that Cozumel is FANTASTIC. Grand Cayman was a bit of a let down as far as the diving, but the Stingray City experience is awesome. Shopping is indeed expensive on G.C.. Cozumel is a great place to get jewelry & souvenirs.
In Montego Bay, we did the Chukka Blue Horseback Riding (heavenly!). If you haven't been to Jamaica, it's very poor so don't expect much, but I've heard Dunn's River Falls is fun.
On Grand Cayman, I don't personally suggest any tour unless you are going to Stingray City to snorkel. We just caught a cab ($3 per person except little kids) to Seven Mile Beach and entered in a public access. Camped out there for a few hours and had a ball. My mom, who had never been to G.C. took the See & Sea and said it was awful. Bad guide, no big deal on the sights (Hell is just one big post office with a long line).
On Cozumel, hubby went diving and I took our just-turned-5-year-old to the Dolphin Encounter. It was unbelievable! That also got us a whole day's pass for the Chankanab Natural Park which had some amazing snorkeling, clean beach area with a restaurant, a botanical garden and a tidal pool sort of area that my 5 year old ran around in with other little ones. Even without the Dolphin Encounter, Chankanab would be a place I'd return to over & over. Cheap, 5-minute taxi ride!
Enjoy and take plenty of sunblock!