There are more things to do but a lot of the charm of the Keys for me is that there aren't huge theme parks and high rises, so you can enjoy the Old Florida pace. Lots of nice thatched tiki bars. Deep sea fishing charters easy to arrange.
There are four state parks worth visiting, though tough to get a camp site especially winter months. All have ranger walks on certain days of the week.
John Pennekamp SP has a marina, small aquarium at the Visitor Center and a water sports shop. There's a glass bottom boat ride you can take to the coral reef offshore. Curry Hammock SP has a nice stretch of sand with waters popular with kayakers and windsurfers. Long Key SP also has canoe and kayak rentals.
Bahia Honda SP has a very nice beach, and is down on Big Pine Key fairly close to Key West. On that key, you also can see the little Key Deer in certain places, like Big Pine Key Fishing Lodge campground, where they walk around the sites.
At Marathon Airport, we enjoyed touring the EAA air museum and walking around their parked planes. Director of Operations Avery Loucks will take you aboard the old Ozark Airlines DC-3, which I loved.
Then of course there are the sights in Key West, like the Mel Fisher treasure museum. One of these years, I want to take the day trip by ferry to Fort Jefferson and Dry Tortugas National Park.
Plenty of other things I haven't mentioned. Best of all, it is usually warm in February.