As far as Cozumel, you may want to look into "Beach Break" excursions either independently or through the cruise line. Being it's your first cruise, I would recommend booking through the cruise line. Beach break excursions usually allow access to the beach, plus the use of equipment. Some water sports (snorkeling, parasailing, etc.) may be extra money.
2007 - Majesty of the Seas (Bahamas)
2009 - Enchantment of the Seas (Western Caribbean)
2010 - Freedom of the Seas (Western Caribbean)
2013 - Golden Princess (Alaska, roundtrip from Seattle)