Welcome to Cruise-Chat, nspringer09! When in Nassau I'd recommend taking a taxi to Paradise Island and visit the Atlantis Hotel. Cabbage Beach is just East of the Atlantis and has parasailing and Waverunners for rent. There are no cover charges.
CocoCay is Royal Caribbean's private Island. You can rent Waverunners, snorkel, enjoy the Aqua Park, or just relax in a hammock on the beach.
I'll be there in lest than 3 weeks!