1. I second the trip to Mallory Square for the Sunset party - but go early. It gets crazy crowded.
2. Go snorkeling. IMHO the main attraction of the Keys is all that beautiful shallow water. So go get in it ! John Pennekamp State Park has trips and I also second going out to Looe Key too.
3. I liked the Mel Fisher Treasure Museum. You can actually touch one of the gold bars he brought up. Today's The Day !
4. My favorite restaurant in the Keys is 'Keys Fisheries' in Marathon. Eat at picnic tables on the dock next to where the fish boats come in. Just plain yummy food.