We just got back (4/20), and like everyone else, I highly recommend Paradise Island in Nassau, with a tour of Atlantis on your own. But we booked the dolphin swim at Blue Lagoon on our own, and it was amazing!!! Would highly recommend it, but you need to book as early as possible. I booked last month, and it was a miracle that they had just gotten a cancellation. I was told that you need to book at least 4 - 6 months in advance. Here is their web-site: http://www.dolphinencounters.com/
Not much to see in Nassau - we booked a taxi to take us around the town, and then he dropped us off at Atlantis on Paradise Island. We walked around the hotel, which is amazing. We had lunch at one of their outdoor Café (4 people, 4 pieces of pizza and sodas was $45.00). Then it was a very short walk to the pier where we were picked up by boat and taken to Blue Lagoon.