We only took a quick trip to Atlantis because the weather was so bad (rain/storms). Nassau is a dirty city. Atlantis is really nice but VERY VERY Crowded. It's also way over priced.
CoCo Cay was pretty and a nice place to relax. The weather was still bad (rained in the am, clouds all afternoon) but I bet it's amazing when the sun is shining. It's a neat place to explore.