I snorkeled in Grand Cayman. I booked a 3 hour private tour with Captain Bryan's and went to two snorkel stops and Stingray City for 39.00 USD. It was well worth it. The water is amazing. I was told that Grand Cayman has the best snorkeling, and I wasn't disappointed at all.
Grand Cayman and Cozumel BOTH have terrific snorkeling sites. Cozumel tends to have a little stronger tidal action and current at many sites so it can be a bit more difficult to "see it all." For divers, the currents make "drift diving" possible and a blast. You really can't go wrong with either place!