Hi tobsterz, I cannot help in terms of Key West but in Nassau there are a couple of beaches that are quite nice.
As someone previously mentioned there is Cable Beach, this has all the latest watersports activities and is popular as there are lots of hotel complexes there etc. If you want to go to Cable Beach then you can either take a taxi or take the number 10 bus from Downtown Nassau (about a 4/5minute walk from where the ships dock). We took the bus as it's only $1 dollar each way and being a crewmember we always go for the cheapest option.
If you carry on, on the number 10 bus you can go to Sandyport beach (it still only costs $1 dollar) and that it is a very quiet and peaceful beach (it became a bit of a quiet getaway from ti all beach for us).
If you are going to Atlantis and Paradise Island then there is Cabbage Beach there, this is a free public beach just outside of the Atlantis complex. Again this has watersports etc and was one of my favourites.