Personally, I'm more comfortable booking my excursions through the ship. From what I understand, if there are any mishaps, they make sure you get back to the ship on time. We were really close getting back from a trip to Dun's River Falls in Jamaica and we were assured that there was no worry, mon!
If you're traveling in the Caribbean, as I've done many times, I'd stick with the ship's excursions. They may be a bit more expensive, but in most cases, the difference is not that much. Of course, on a 7 day cruise, we may only book two excursions just to watch the budget. Hope this helps - have a great trip!