Anything we've done has always been through the ship. I don't mind paying more because I feel a bit more secure. That being said...
On our honeymoon we did the Tulum Mayan ruins tour. It was a LONG day but it was really nice. It was extremely hot and there wasn't really any shade where the ruins lay. The tour guides must be immune to the heat because they don't even notice that everyone is peeling away what little layers of clothing they are wearing. I was about to pass out from the heat and we decided to sneak away from the part of the tour early and go down to the beach that the group would be heading to anyway. I hadn't planned on going swimming (so no suit) but after the heat and then seeing the beach, I just went in with my shorts on. This beach was amazing, it had little coves right off the beach and we took pictures from the cliff above with the beach and ruins in the background. If you are into the historical aspect, it's a good tour. But if you don't want to hear a thing at all about the local life pass on it.
The next time we were in Cozumel, we went Scuba diving. Neither of us are certified. We got this crass course and it was a beach dive (enter from the shore - not from a boat). This was incredible, I can say I went scuba diving and I have underwater pictures to prove it!
Depending on your likes and dislikes, both were very enjoyable.
Either way, try your best to go to Poncho's Back Yard for lunch. It's located at the end of the strip in the Shoping Emporium store. THE BEST MEXICAN you will ever have! We plan our excursions around having lunch at this place.