Key West: Check around on the web a bit, and just do whatever interests you on your own. Good maritime museum, shopping, pub crawl, Hemingway House, etc.
Grand Cayman: Stingray City is a "Don't Miss". Try Captain Marvin's excursion.
Cozumel: No need for an organized tour. Rent a jeep and go around the island yourself, snorkeling and beaching it back to the ship. Finish up with a little shopping and a Corona at Carlos and Charlies. OR DIVE, if you're certified.