The watersports in St Thomas are the best in the Caribbean, and the prices are fairly reasonable. Some of the best marlin fishing in the world (May-August), fishing, diving and snorkeling are the top activities. Make reservations through your hotel, with the Ritz Carlton being the best on the island, and the Renaissance Grand Beach Resort being the best bang for the buck (and my personal recommendation).
If you do one thing while visiting "The Rock", visit Megan's Bay (considered one of the 10 best beaches in the world!). You can literally fall asleep laying in snow angel formation in the water and wake up in the same exact place! Megan's is great for people watching too!
Secret Harbor is the spot for diving and snorkeling, with great coral, fish and privacy (after all it is called Secret Harbor:). Take a catamaran to Cook island for a fun day and great snorkeling.
Duffy's Loveshack and the Greenhouse are your party spots for picking up the opposite sex, but are poor attempts at ripping off the club scene in the states if you ask me. Iggies and Fungi's are great local bars/eateries with the much sought after island atmosphere.
Quick Tips:
Do's: Shopping abounds with top spots being the Port of Sale, Waterfront shops, and the best local finds at the market by the waterfront (you can haggle anything down 20%). Liquor, smokes and jewelery (in that order) are where to spend your money. When buying liquor, buy non-US made stuff where the savings are tremendous (Finlandia and Russian vodkas and Cruzan rums are the best deals). Spend some cash on the higher priced restaurants (Marisol [downtown], Azure [on saphire beach], and anything pricy in Frenchtown are all worth the cash).
Take the tram up to paradise point, but don't forget to take your camera (the best views on the island, and has a good bar, but don't waste your money on the horrible food there).
Take the , 15 minute ferry over to St. John and take a nature hike or spend some time on some of the less traveled beaches (Sugar Bay Plantation is my recommendation). Eat at Woody's in downtown Cruz Bay for lunch.
Dont's: Avoid anything by the airport. Don't drink tap water at even the fanciest restaurants (you probably won't get sick, but it tastes like crap!). Don't buy anything for what they offer you.
Best Way To Get Around:
Don't take an island tour. Rent a car if you are here for more than a couple of days, the taxis will empty your wallet. The island is all hills and poorly maintained roads, so walking sucks. Don't be downtown alone at night (actually, don't be outside at night alone, period).
Cabs and ferries are the way to get around if you don't rent a car. Everyone lives on "island time" down here, so if you are in a rush you are in the wrong place (although a twenty gets anything done twice as fast down here:).