We've done both through the ship and on our own. It is a little less expensive to go through shore excursions, but so far, the excursions I've booked through the ships have been well worth the money. We did an awesome sail/snorkel in Bon Aire last year. We sailed back and were about 20 minutes late. The ship had to wait, because we booked through the cruise line. That's one thing you are guaranteed, if you book through the ship. They have to wait, otherwise, they'll leave. I also like the fact that when I book on-line before we cruise that I can get the excursions I want. Have a wonderful cruise!
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