We had been to Key West for 3 days in Sept, 2013 and there was not much we did not see. We highly recommend Hemmingway's house, which we saw in Sept. It is an easy walk from the ship, so book it independently rather than through the ship and you will save a bunch of money. We did walk over to the Truman White House, and really enjoyed the tour. We were amazed that this was not offered by Celebrity. Surprisingly the Conch Train Tour was cheaper through Celebrity than it was by booking it directly.
We had been to Nassau several times before, and really do not care for Nassau. There is not much to do unless you snorkel or want to go to Atlantis. We never found any deals in the shops, and the straw market has some original things, but a lot of stuff from China. This was not a planned visit since we were supposed to go to Cozumel but because of engine problems in Key West, the Cozumel visit was cancelled, and the captain took us to Nassau instead.