You can take a ferry ride to the mainland from Cozumel and do a tour of the Ruins of Tulum. We found that very interesting, just beware of the tourist traps.
If you remain on Cozumel and don't wish to take an organized tour, you can take a cab to San Miguel for $6 for the carload. San Miguel is the only major town on Cozumel. It has lots of nice shops, restaurants and a huge Super K-Mart styled supermarket. I think I saw a Senor Frogs there. The people seemed to be having a great time.
Key West was a nice town to walk around in. You can also see the beginning or the end of "Route 1" that goes all the way from Key West, Florida to Maine. Shop keepers were very friendly.
My ship didn't stay long enough in Key West to really do anything enduring.