We docked there on our cruise, and loved the area so much that it has made it's way to our "must-do" list! We toured the lighthouse, went to the Southernmost point and toured the aquarium. We had lunch at Margaritaville and did a little shopping in some of the funky and tacky stores!
If we had more time, we would have gone to Hemingway's place, and watched the sunset at Mallory Point. We would have had dinner or a drink at Sloppy Joe's and spent time on the beach. I am not sure if they give tours of the naval base, but that seemes pretty neat, too.
Bill (lizardcop) is very familiar with Key West...I'm sure you'll get lots of advice from him when he sees this thread!
