John Pennekamp Coral Reef State park in Key Largo is pretty awesome. They have a swimming area that has some cool stuff to look at if you can snorkel - old cannons and a bunch of tropical fish. Boat tours. Lots of stuff. Some of it can be pricey, though.
Long Key State Park, which is about halfway between Key Largo and Key West, will rent out cheap "tent shelters" on a first-come first-serve basis, unless an organized group (like a Boy Scout troop) is using them. If you have a tent, this is a nice park to camp at, and you can get a tent shelter without a reservation (normal sites are usually booked well in advance.) Call them - they'll at least tell you the rates and if the boy scouts are going to be there. They also have very reasonable canoe rates (but you have to hit the tides right) and somewhat less reasonable kayak rates.
If you make it to Key West, be sure to go to Pepe's. It's the oldest established restaurant in Key West, and if you're at the bar at 4pm they'll feed you sandwiches for free. They make great margaritas from fresh squeezed limes, too. Seriously. Pepe's is the best. They don't like it if you get rowdy, though, so if you plan to drink a lot you should probably start there. It's a very 'locals' place, with great food, and a great place to talk to old sea-salts at the bar.
Mallory Square in Key West has street entertainers that are somewhat reminiscent of New Orleans... Fortune tellers, artists, guys with dancing dogs and cats...
And if you're in Key West around sunset, go up to the top of La Concha hotel and watch the sunset. La Concha is the tallest building in Key West. It's a nightly ritual to watch the sunset from the top, and it's a fun place to people watch and meet some locals. Also, it's free, even if you aren't staying at the hotel. They have a bar up there, too.