Stay here: http://www.sugarloafrentals.com/
My wife and I stayed in the Conch cottage ( http://www.sugarloafrentals.com/html/conch.html
). They have very good rates and are only 20 minutes away from Key West. There's a long dock and the whole ocean as your backyard. At the end of the dock you'll see barracuda up close and personal, and if you're lucky, a nurse shark or two. Add that to a bunch of cute little lizards (anoles in their native habitat), a whole lot of crabs, and the occasional iguana. Plus the place comes with kayaks if you want to paddle around on the crystal clear calm waters of the ocean and bikes if you want to take a ride. Take a right at the end of the driveway and keep on riding, you'll come to a bike path that leads into the mangroves, with interesting fish and inverts to see. If you are the outdoorsy type, this is definitely the place to check out.
Scuba with these guys: http://www.diveflakeys.com/
No experience required, it was my first time diving and my wife's second. You take a short course and an hour later you are diving. The reefs are protected by law, and pristine. My wife first dove in Belize, and said the reefs in Key West were far more colorful. The diving instructor (if you are not certified you need to dive with an instructor) that went with us was awesome.
You will not be disappointed
Any questions, just ask me!