The shops are nice and the prices are good on merchandise, and the beach is fantastic. The water is excellent, and if you go there, make sure you bring a diving mask or goggles as there are things to see under the water (old spanish cannon and a ships anchor, as well as fish).
Make sure you go into Margaritaville for lunch, as the food is excellent and the portions are very generous. The whole atmosphere there is very fun and more of a party than anything else. The pool is beautiful, and the Flow Rider is lots of fun.
We happened to be there during what I can only describe as a squall, as it rained about 6 inches in 25 minutes around lunch time. No big deal, it took away all the humidity, which after two days in excessive heat was welcomed. Their drainage system is terrible though, so there was a lot of flooding. The downtown area just isn't very nice, there are lots of stores and things to see, but it all gives you the feeling that they know they're a major desitination and they're not afraid to show it. It all feels forced.
As soon as you get off the pier, there are taxis waiting to sell you on a ride around the city and a visit to Atlantis for the low price of $25 each. We were a group of five, so we thought that was a great deal and agreed right away. The problem was that the drivers van was meant for 15 people. We were the first five to agree, so he would have to get another 10 people before leaving. After waiting 20 minutes, we gave up and just walked around. Definitely not worth the wait, all we wanted to see was Atlantis. Later on, we took a taxi over there for $4 each, and toured it ourselves. The aquarium there is something to see and well worth the $35 they charge to go through it.
Only issue with Atlantis is that none of the employees seem to know how to get around it. After we finished the aquarium, we were told that there was a shark section just in another area outside, however because it was pouring, we were advised to find a tunnel which no one seemed to know about.
We ended up walking around for a half hour asking employees where it was, and finally gave up and got soaked, but again, worth it, as the shark section is awesome.
Overall with Nassau, I wasn't impressed with the city itself, but Atlantis is a must see.