In Cozumel, we have been to Chankanaab Park and Playa Mia. Chankanaab had good snorkeling but it was a little tricky getting into the water, you have to climb down steps made up of slippery stones, the beach does not gradually extend into the water. The food and drinks were good. Playa Mia had a nice beach, pool, restaurant, tiki bar. Both parks had those terrible molded plastic lounge chairs. You can go to both parks on your own, just take a taxi. There is an admission fee to both parks.
In Key West, you really don't need to book a shore excursion unless you want to fish, snorkel, etc. There is a lot to see on foot...if bars are your thing, try Sloppy Joes, Margaritaville, Hogs Breath Saloon (all on Duval Street). Mel Fischer's Treasure Museum is inexpensive and fun for everyone, climb the stairs in the lighthouse, tour Ernest Hemingway's home, the Audubon House, Pirate Museum, President Truman's vacation home, Shipwreck Museum or just walk around and look at all the funky architecture. Trip is correct, a tour on the Conch Tour Train will give you a general overview of Key West. There is also a public beach accessible thru the Truman Annex complex...Fort Zachary Taylor State Park.
Monty's Restaurant is another great place to spend a few hours, it is an open air bar/restaurant with a large swimming pool in the middle for customer's use, good seafood and great fish tacos.
In Cozumel, we had a great time on the Catamaran Sail and Snorkle Beach Party, about $52. They took really good care of us, we snorkled for about 30 minutes way off shore, then they took us to a private beach where you could buy lunch (good), minimal vendors, comfortable, lovely, plenty of palapas, volleyball, etc. The boat ride was fabulous, drinks are free - the Diet Pepsi as well as the liquor - which leds to some mild wildness, but we were good. After we arrived back at dock, around 1:30 p.m., we hired a taxi to take us to another beach - hate roaming stores for the elusive cheap t shirt. We ended up at Mr. Sancho's beach, great, private, free, little shops, can buy lunch as you sit under your palapa, it was great. Taxis are waiting to take you back to the dock, very easy and safe.