We didn't feel Nassau had a lot to offer, but we didn't explore a whole lot either. You are approached by somewhat aggressive sellers of various excursions and services. We walked to the straw market, which to me had similar items to be found in many island ports, none of which I found interesting.
Loved it! We had never been to Key West, and our desire to see it was a major factor in our choice of this sailing. We spent most of the day there, starting with a trolley tour. We then walked to and took a tour of Truman's Little White House, followed by a tour of the Hemingway House. Both were excellent. We then strolled up Duval St, stopping for drinks and an excellent smoked fish dip at the Lazy Gecko. A very enjoyable day.