As for desserts:
I did try a Key Lime Pie at the Blonde Giraffe in Key West. It was really good, but still a little pricey. I will have to try a Key Lime Pie at the Blue Haven as someone suggested.
I need to find that outdoor place in Cozumel someone mentioned, that had great coconut ice cream. I will be there next month (on Cinco de Mayo no less
Flan is also a good choice for a Mexican dessert. For those that don't know, it is a type of caramel custard. It also popular all over Latin American (and even elsewhere in recent years).