I have gone snorkeling at both Coco Cay and Key West. I enjoyed trying it the first time at Coco Cay, which was a simple and easy place to learn. You just wade out into the water. Its not exactly a huge picture opportunity. However its relaxing.
Key West, I took the catamaran excursion, and that was really a fun and satisfying trip. The ride out on the boat, the dive, the trip back, you get your monies worth. Plus it is a lot more stunning out there in more open water.