It also depends upon what you want to do and its distance from the ship. For instance, if you want to use Cozumel as a starting point for a visit to the ruins at Tulum, I would most definitely use a ship's tour, particularly if this is your first visit. Given the long distance between the two, I'd be far more comfortable on a ship tour, which is guaranteed to get me back to the ship before it leaves. There are other examples -- many of which are in the article Tom cited -- so let us know what you're looking into so we can offer specific suggestions.
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Happy cruising!
LisaP
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