Leaving for the Bahamas tomorrow! Woo Hoo!! Anything I should know before I go? What about excursions?

Question

I didnt sign up for any excursions- they didn't seem desirable. I would like to go on some tours, though. We will be stopping in Nassau, Cococay and Key West. I live in Florida so the beach isn't new to me. Any sites I should hit when I get to Nassau? I know I want to see the straw market and Arstid? Gardens (the zoo). Can I just take my group with me and hail a cab to the sites? Thanks