Not my favourite port of call, but we did the Pirates of Nassau on our own and really enjoyed it. This is well worth seeing as it does give a fair amount of detail about what it was like to be a pirate.
Love Coco Cay! Beautiful beaches, convenient bars and amenities, pretty good snorkelling and my own private sting ray. Also, the straw market is staffed by lovely, non-aggressive vendors who are happy to sell you something, but don't mind if they don't.