The Casa Marina is one of the best places to stay, as it has a nice little beach area, a wonderful brunch and piano player in the evenings. Right next door to the hotel is a very, very nice restaurant (ask at the front desk - I forget the name) that faces the water. It's a bit pricey, but worth it! They'll also come pick you up and take you there - or you can walk. Here is a link to some of the restaurants.
http://www.foodreference.com/html/ke...formation.html
You can also book your excursions from the hotel. Most activities are around $50 (snorkeling, etc.). Take the train to get familiar with the island and they'll point out things to do, as well. There are places you can sign up for excursions all over the place! Scooners Wharf is one of the "locals" bars and has live bands. You can take a pink cab, or a pedi cab to get around the island. I also like Hoggs Breath Saloon. Most places has live entertainment. And don't miss Rick's bar, a block fro Hoggs Breath and catch the Steven Neil show!
Blue Heaven is really cool for dinner, as the tables are out on the lawn (don't go if you don't like cats). Just sort of feel it out - you'll know what to do! Oh - and take another suitcase along for souveneers and t-shirts! Have fun!