We spend a lot of time in KW and we love the sunset celebration every night on Mallory Square. Unfortunately, it's not the same in the summer as it is during the winter/high season. Many of the street entertainers are no longer there, so it looses something in summer.
There are no shortages of bars and happy hours. The Hogfish Bar on Stock Island is owned by the same owners as Geiger Key Restaurant and GK is in a much nicer area and with no shady characters. It's on Geiger Key about mile marker 13 or 14. Go and get a hogfish sandwich.
It's going to be hot and humid in May so be prepared. KW becomes a lot less fun when it's so hot.
If you like to snorkel, take a trip out to Looe Key Reef. Looe Key Dive shop takes a couple trips out there every day.
Every evening before sunset there are all kinds of boats leaving from the marina to take a sunset cruise. They parade back and forth along Mallory Square while the sun sets. It's beautiful from the shore and I assume also beautiful from a boat, although we've never been. There are all kinds of boats and trips to choose from. I think you'd like it.
As far as Dry Tortugas...it's a long trip out and not terribly exciting or comfortable. The Tortugas are spectacular, especially if you snorkel, but you don't get much time there. It seems to be a little expensive for one day. We did it years ago and spent the night in a tent. It was hot as hell though.
We liked the Hemingway House too.
We've taken the buses. We usually park at the Kmart plaza and catch it from there, but it doesn't get you right down to Duval Street (which is where all the action is). We're not late night people either and like you we like happy hours, but in KW we have been known to stay out until midnight!~~~