After you get the, where you are staying and how you are getting there figured out. (SouthWest if flying into Key West now FYI) You need to go to the official Fantasy Fest website to find out what is being sponsored each night. For instance, Captain Tony's has a plaid night and a toga night. There is a cowboys and Indians night and a red night. It changes so the web site will tell you which night is which. If you are offended by nudity, don't book your flight, you will be surrounded by it.
The website also sets the rules and guidlines for behavior and dress.
Such as asking before you take photos, no weapons, lots of info. If you have a car, try to get a place to stay that offers a parking place. Parking is $40 - 50 a night.
Prepare to have the time of your life