We stayed away from the tourist restaurants and went off the beaten path. We asked locals and walked all over Key West to find places. We also found this place at the Southern Most Point. It is a restored B&B mansion -- for $8, you can tour and take advantage all day at their pool, which overlooks the ocean. It has a full service bar and it feels like you are staying in paradise. We stayed the all day.
Across the street, there's a bar that rents hobie catamarans. This bar overlooks this ocean and you can take your drinks out to the beach. The owner will let you rent a Catamaran for $40-50/hour as long as you know how to sail. He will ask you a lot of questions so be prepared.
Take advantage of the friendly personnel at the Galleon. They will book all your tours and you will get a discount. They will also tell you the best tours.
The parasailing is great. We went to the yellow boats. I can't remember the name. Be sure to tell them that you want to stay up a long time and dipped. We were dipped three times and stayed up for approx. 20 minutes. They will make a CD for you. They will let you view the pictures before you buy them.
You can pick up a walking tour guide. I recommend walking every morning. We did the entire book between 6-9am every morning.