The Chukka zip line tour in Jamaica is quite popular and while I've not done it I've read and heard good reports.
'The' thing to do in Grand Cayman is one of the stingray tours. Just know that they get really crowded with tour boats if there are a lot of cruise ships in port. An early tour is probably better than doing one later in the morning or in the afternoon.
Key West is a pretty boring place during the daytime. Just being honest with you. Taking one of the bus tours is a good way to get an overview of the place. Old Towne Trolley or the Conch Train. I prefer the trolley since you can hop on and off for a flat price as another one will be along every 20 minutes or so. The Mel Fisher museum is interesting. Be wary of the t-shirt stands. Some will rip you off big time if you order a shirt they have to make while you wait under the guise of it being a custom shirt. I speak from first hand experience. Paid $40 for a t-shirt back about 10 years ago and didn't realize how much it was until he handed me the shirt. I just wasn't paying attention to the signs. Google 'Key West t-shirt scams'