I was just (on a cruise) at Cococay and Nassau in January. Both Islands are great!
The Soverien Of the Seas was docked at Nassau the same time we came in, and that ship looked awesome!
For Cococay, we bought the "snornel at your leisure" package. It was a bit too chilly to be in the water at that time, so we wound up just enjoying the beach and layed out on the beach chairs. We didnt use the equipment. RC gave us a refund for not using the equipment. SO, that worked out well for us.
We did see people parasailing, and that looked like fun! I know there are plenty of other things to do, but we just enjoyed the beach.
In Nassau, we took a 4 dollar cab ride to the Atlantis, and walked around the grounds. Its very big, and beautiful. When you get to the Atlantis, ask someone where Cabbage Beach is. (they will direct you to the Beach Towers, where you can exit the Atlantis, walk half a block, and enter the public beach through the RIU hotel) The cab driver advised us not to buy the Atlantis day pass. All beaches are public, and your basically just paying to walk through the Atlantis. Its not worth it.
We had a great time at both of these ports!