There really isn't much to do in Costa Maya. There's a lot of shopping, a pool with a swim up bar, and some bars and restaurants. We rented a golf cart @ $15/hr and went to Mahahaul which is a nearby village. They had a very nice beach there and some restaurants and people selling things. The village is very poor and everyone tried to get you to buy something. I found them to be a bit pushy. We hung around for about 2 hours and then went back to the ship. We will be back there in April 2005 and have decided to take a tour this time.
In Cozumel we went to Chankanaab Park. I highly recommend it. They have a great beach that you can snorkel right off of. There are restaurants, bars, beach chairs, shade huts, lockers, bathrooms and showers. This is where the dolphins are and even if you don't do the swim with them you can see them there. They also have a botanical garden and a Mayan ruins replica that's pretty interesting. It's a $10 taxi ride and $12/pp for adults and $6/pp for children to get in.
Hope this helps.