Mike is right about Key West. Those are the best things to do there. It's really mostly a touristy place. Tons of bars and souvenir shops. Not really a good beach or snorkel place. (JMHO) Last time hubby and I were there, it was a very short port day, so we just shopped around a bit, then found a little outdoor bar, right on the dock area. We had a few drinks and ate platefuls of shimp, while we people watched and listened to some Margaritaville type music Very relaxing.
Now Cozumel, on the other hand has so much to do, I have a hard time choosing. It too is very touristy, with lots of shops and bars. But there are so many great excursions. If you like history, there is of course the pyramid and ruins at Tulum. We had a fabulous time on a jeep excursion, that took us off-road, and then to a fabulous beach. There are lots of great beaches, especially at the Chanchanab Park where you can swim, scuba, snuba, swim with dolpins, helmet dive and see some Mayan ruins too. And Cozumel of course has some great boating/snorkeling excursions. We once did a reef snorkel there, that was some of the best snokeling we've ever done.
What ever we do in Coz, we always wind it up with a stop for a late lunch at Poncho's Backyard for some authentic Mexican food. Absolutely the best guacamole' ever. We love that place.