All the places you named are very small and you could managed doing things on your own. If you want to book an activity then here are some things we did.

Key west is very small. You probably don't need to book an excursion unless you want to do a water activity. The Conch Train will give you a good tour of Key West and you can hop-on, hop-off at the various sites.

Grand Cayman. Again really small. If you want a land tour you can walk out the cruise terminal and negotiate for a tour with the vans that will be waiting. If you want a water activity book in advance.

Cozumel. we have done two activities here. The Playa Mia cooking class was a lot of fun. Not difficult since they do all the prep work and you mainly just put stuff together. There is an open bar if that is of interest. The beach here is very nice and is included in the cooking class.

We have also booked a private car tour on Cozumel though here. http://www.toursplaza.com/categorias...iring_a_driver Gerry was great and we highly recommend him.

Castaway Cay is the private island so have no expirience there.

Here is a site that will tell what ships are in port when you are there. This can make a difference on what we do. http://cruisett.com/content.php