Treat this as a beach day or a day to go diving/snorkeling, as there's not much to see and do on Grand Turk, but the entire island is almost a sandbar with beaches everywhere including a pretty good beach at the cruise terminal. Just south of the cruise terminal (turn right, go through opening in fence) is a rocky stretch of beach that is a conch graveyard - there are some reasonably nice conch shells to be found there.
The island is still recovering from a direct hit by Hurricane Ike last fall. The small historical museum in town survived and is worth a visit if one is looking for something to do.
One of our favorite ports in the Caribbean. Cane Garden Bay is a picture-postcard beach and the trip over the center of the island to get there is memorable with great views. There's reasonable shopping near the pier including the craft village (go out to main road and it's on the left). The botanical garden in town is nicely maintained and worth a visit. We also dropped in on Pusser's near the ferry terminal - lots of atmosphere to go with the rum.
St. Johns is very busy, especially if there are a lot of ships in port. Lots of shopping, but the vendors can be somewhat pushy.
Antigua has a *lot* of beaches, so here's how to get to Jolly Beach on your own - go out to Market St., turn right and there will be a bus terminal in a few blocks (note: "bus" in Antigua is usually a mini-van - the same vehicles serve as taxis). Take bus #20 to the end of the line at the entrance to the Jolly Beach resort. About 10min walk straight ahead (direction that bus arrived) is the beach, with the usual amenities to rent, and at least one beach bar. This is an upscale resort area (I had no problem walking into the resort), so better dining options are available in the resort. Bus fare (as of Feb 2009) is EC$3.25 each way (about US$1.25).
The interesting things to see and do are not in the port city of Roseau. We went river tubing on the Layou River and had a blast - we strongly recommend this to anyone who's interested and in reasonable physical shape. Other people enjoy seeing the waterfalls, but whatever you do, get out of the city and see this beautiful island (the city is a bit on the run-down side).
St. Barts is unique - welcome to a little slice of France in the Caribbean, but an expensive slice of France. Shell Beach (far side of Gustavia) is walking distance from where the tenders dock - it's a nice beach but somewhat constricted (cliffs on both sides). Be aware that topless bathing is allowed at all beaches on the island. Just strolling around Gustavia to see the large yachts that are in port can be interesting.
We took the Yellow Submarine semi-submersible tour. This goes out to a wreck and the reef; there were plenty of interesting fish and a few sea turtles to see. Visibility depends on the weather - it was a bit murky, but still ok due to serious weather the day before. This was an interesting trip, especially as we don't dive or snorkel.
Aside from the Baths, which are a "must see/do" attraction, there's not much else on this island. The Baths are a set of large rocks that seem to have been jumbled on the shore by some prehistoric giant. There's a very interesting path through the rocks, but make sure to wear water shoes or surf sandals - it's dangerous to try this in bare feet.
The beach on the far side of the Baths, Devil's Bay, is a much nicer and less crowded beach than the one at the Baths proper, but there are no facilities (e.g., bathrooms) there whatsoever. To get there, instead of walking down the trail to the Baths, turn left at the ticket office (you do need a park admission ticket) and walk uphill to find the trail from the parking lot to Devil's Bay. It's a longer walk, but well worth it. Taxis are readily available from the yacht harbor (where the tenders dock) to the Baths and back.