We vacationed to Naples for the 1st and only time at the end of February in 2010. We were much disappointed in the cold weather throughout the week (because we spent a lot of money on our plane, hotel, and rental car) but enjoyed our excursion into the Everglades and boat ride on the bay from Gulf Shores state park.
Our hotel, the Cove Inn, was very nice and we'd love to come back some spring. Our neighbor at the hotel told us she flies into Fort Myers from Detroit, rents a car for a day to gather groceries, supplies, etc., returns the car to a lot in Naples and takes the bus for the few weeks of her stay! Makes a lot of sense and save her some money.
I loved the pier and beach and felt very safe there. Had the best fish dinner at a little bar named the Naples Inn (I think) around 3rd Street.