We have been to the Keys many times. First time on a cruise ship. Then staying at hotels and inns. Now we take our travel trailer and stay in the state parks when possible. We have done many of the excellent suggestions listed here. Drinking up and down Duval St, sunset at Mallory Square, Sloppy Joes, Hog's Breath bar, shopping, kayaking at Long Key, swimming at Bahia Honda, ferry to the Dry Tortugas Truman's Little White House,tourist train around Key West and many a snorkeling party boat. But in my opinion the BEST part of the Keys is underwater. We have snorkeled many different reefs including Dry Tortugas which we took a looooong boat ride to. The best reef is the one suggested here by others...Looe Key. We also like Molasses Reef and many of the others but Looe Key to me is the best. I also like the trip out of John Pennycamp because its all about the snorkeling,although it doesn't go to Looe Key. No loud music, free rum punches and dancing etc on the way back. I just like boat to take me out, let me spend as much time as I can floating over the beautiful reefs and then transport me back as quick as possible. I prefer a nice glass of wine back at the campsite. My second favorite thing driving up and down the overseas highway as much as possible:)
What ever you choose ENJOY! We will be there in February at Bahia Honda for 5 nights.