Never been to key west.
I would suggest checking out cruisecritic.com for more info generally, and you can ask specific questions there.
Nassau - been here 3 times I think on previous cruises. This is probably our favorite touristy island in the Caribbean.
What we have done:
Cruise 1: took public transit bus over to a resort type area a few miles away - $1 per person and they took USD. Nice tour of the working class areas of Nassau on the way to the hotel/casino strip. Walked through a casino and lounged at the hotel's beach for a few hours, probably technically trespassing, but no one hassled us. There are other beaches where you can walk up or pay a fee to a hotel to stay at their beach for the day. We also walked around downtown some.
Cruise 2: Took water taxi over to Atlantis ($3 per person IIRC), checked out their casino, aquariums, grounds, etc. Eventually we snuck in (a recurring theme?) to their guests only area and toured the beach area and their more extensive aquariums and shark tank. Then walked back to the cruise ship through areas of varying roughness. I think it was probably a 2-3 mile walk back, but not too bad at all. On the way back we saw a fort, the Queens staircase (I think that is what it was called), Government house or governer's house or something, and some other tourist attractions, all on foot. I thought the fort was cool and also provided impressive views of the surrounding area including the cruise harbor where your ship is docked. We used a guidebook and it was pretty easy. But if you spook easily or unaccustomed to third world unwashed masses surrounding you, you might want to spring for a guide, although we never felt unsafe (DW came from a 3rd world dictatorship so Nassau is like a walk in the park). We also went to the straw market - very touristy and crowded, unimpressive.
Cruise 3: took the kids out on the trip this time, water taxi to/from Atlantis so they could see the aquarium and grounds.
We didn't do any paid excursions, other than what we paid for the water taxis and buses.
Freeport: got off, walked around and went to the little shops near the ship. Got back on ship and lounged. There wasn't anything we felt like going into town to see, so we skipped the destination for the most part and had fun on the ship. My grandmother and our young kids were with us, so our typical on foot explorations would be hard to do. Maybe next time we'll head into town to see the sights. I know they have some ecological gardens of some sort, and a variety of beaches and beachfront hotels. Those were the most attractive things I remember from the guidebooks.
Enjoy!
