Yes, there are quite a few. A nice place to go to in cozumel is Chankanaab Park:
You can just get a cab at the pier and head on over there, good snorkeling, beach, etc.
For Grand Cayman, definitely snorkeling with the Sting Rays. You can pre-book it with Capt. Marvin, but not sure if you can at this short notice, but give it a try if you think this is something you want to do:
There may be more at this site and you usually save some money, hope you find some nice and interesting things to do, enjoy: