There are a lot of things to do in St. Petersburg, and one place to visit is the pier.
We decided to go on a Sunday. We parked in the Dolphin lot (halfway between the pier and Baywalk), which was only $3 for the entire day.
We were hoping to go on a Segway tour, but they were already booked (I highly suggest reading my entry on the Segway tours), so we walked around the shops in the pier and went to the aquarium (which is free on Sundays; otherwise it's $2 per person). Overall, the pier itself is not that exciting. There are lots of places to eat and you can rent fun bicycles and boats or even feed the pelicans. But the aquarium is very small and not very stimulating. The art museum was closed when we went, and the shops are very touristy.
After spending about an hour wandering about, we then walked down to the Baywalk shopping center (I'd estimate maybe half a mile?). We passed the St. Petersburg History Museum and a very interesting "comfort station" (restroom) nicknamed "Little St. Mary's" before we got to the Baywalk shopping center.
Baywalk is a phenomenal place for shopping! They have a lot of very unique stores, several restaurants, and a huge movie theater (the Muvico). We took in a matinee showing of Phantom of the Opera while we were there. The matinee tickets were very reasonable (even cheaper than movie tickets back at home). The seats were stadium style and very roomy and comfortable.
I would recommend making the pier a part of a day downtown. It has some great views and some good restaurants, but is not enough for an entire afternoon. I would suggest combining the pier with some museums and shopping at Baywalk.