There are a few variables to your questions. First, be advised that you are totally responsible and liable for all aspects of an excursion that you do not book through the cruise. As an example: If you are late and miss the ship you are responsible for making arrangements to get back onboard. If it is a ship's excursion and you are detained the ship will wait for you or make arrangements to get you onboard.
With that said, the stingray snorkel in Grand Cayman and swimming with the dolphins in Cozumel can easily be done on your own. I have used both Captain Marvin and Captain Bryan in Grand Cayman and preferred Capt.Bryan only because he uses catamarans. Both offer a much more preferable small group experience The dolphin encounter is done at Chankanaab National Park and can be booked directly, but it is a very popular excursion. If you have not booked well in advance - it is often sold out.
Can't help you with the sunset sail in Key West, perhaps someone else can chime in.