Some shore excursions for Alaska fill up quickly - especially those helicopter tours which take a limited amount of people. If you really want to make sure that you are on a excursion, I would book it on line as soon as shore excursions open.
Just remember, some of those shore excursions in Alaska will require a passport (not birth certificate) as you are going into Canada from Alaska.
I have been to Skagway three times now and have come to the conclusion to leave the booking until I get there (it really is no fund riding up the white pass in heavy fog for over $ 100,00). I have found that the price difference between Celebrity's shore excursion and booking a tour on town is very little - to none (was last there Sep 08). There is a tour agent right across the street from skagway station that sells a one way train and return by coach, this is my favorite because you get to ride the train and then see the trains from across the valley when you "coach back"'. The cost is about the same as a train/train tour. If you get off the ship not too late and buy tikcets for the 2pm departure, I would imagine that should be no problem.
We were on NCL Sun last year and booked all shore excursions while on board. We had no problem getting any of the excursions that we wanted, encluding the White Pass Railway. Having said that, we didn't opt for the more expensive stuff like the helicopter flights.
Our family took this train ride last year and we decided to wait until we docked and see if the prices were lower than on the ship. As we docked we saw five other cruise ships town and thought we would have little chance on getting tickets direct. That was not the case. The train was not full and we ended up getting discount tickets. We would definitely not purchase from the ship's tour office. Seems like we have paid way to much everytime we make those advance purchases. We recently paid almost $400 for two people to take a shore tour in South American and at dinner that evening we sat with a couple that went to the same destination with another couple for about 25% of what we paid through the tour office. On the otherhand you might not be able to take a certain trip except through the ship's tour office.