I just posted this for someone else so I'm going to be lazy and just copy and paste it here.
here is my 2 cents (might be 5 cents by the time I'm done).
We stayed 7 days in a B&B in KW and then 2 days on Sun Set Key (little man made island about 1/8 mile above KW) for the wedding. And we didn't see everything in 9 days and weren't ready to leave.
Here is a couple suggestions:
If you are just looking for a great place to stay that doesn't cost too much...this is a good one. We stayed at a place called "Key West Bed & Breakfast the Popular House" (http://www.keywestbandb.com/). I know that is a funny name but that is what it's called. And they are great. They have really great prices and the place is nice and clean. Not a 5 star B&B by any means...but really nice. I would call it a 3 to 3.5. But for the price you give up a little bit. The people were great and it has a great location. It's 2 blocks off of Duval St. I believe. We walked everywhere. On this website if you go to the Hotels tab and then click to the B&B part, it is usually always ranked #1 or #2 in key West. And read the reviews there. You will like it.
You must have a Cheeseburger in Paradise at Margaritaville on Duval St. (http://margaritaville.com/cafes/keywest.htm), I know it sounds like a touristy thing to do but I've eaten at them everywhere I can find them and the Cheeseburger in Paradise is the best cheeseburger I've ever had.
And Sloppy Joe's is a great bar and has great live music(http://www.sloppyjoes.com/), and so is Irish Kevin's down the street (all on Duval St.).
We went on the Western Union (sailing cruise) and it was a great time. So you might try that. There was also one called the Schooner America. It was much bigger, faster, nicer and prettier......and more expensive. But check them out.
We also went on a day trip to the Dry Tortugas. Fort Jefferson is out there and it was built before the Civil War. It was beautiful out there and you can camp there if you have your stuff. Snorkeling is great. And oddly enough, walking around the mote wall is pretty romantic. It's like 70 miles of the cost of KW. REALLY COOL place. One of those things like I wouldn't go see it again, but I'm really glad I saw it one time.
If your a cigar smoker (like myself), they have a whole musem on cigars. It was a hugh industry down there.
We rented a scooter to see the rest of KW one day, stopping at any shop we wanted to.
But there is so many things to do in KW it's hard to get them all in here. Every one is going to have their favorite "must see" places to tell you about. It just depends on what you like to do. Hemmingways house is cool with the polydactal (sp) cats and all, Mel Fisher Meseum was great of couse Mallory Square is nice. Blue Haven. I could just go on and on. Key West is an amazing place. I tell people all the time, It has more history, more things to do and more things to see than any place 4 times it's size I've ever been. Any one that says 3 days is enough to see everything in KW didn't see the things we saw.
Go and Do.
You will love it.
I hope this helps. You take care.