If you are coming to Exuma and don't have your own boat to explore the cays, Bob Smith offers a great full-day excursion. You visit the Thunderball Grotto where you can snorkel for about 20 minutes, and you get to visit islands with iguanas and swimming pigs. He also keeps delicious rum punch on board that's included in the price. His boat fits up to ~13 people but he won't go unless he has at least 8-9 people. There are some larger tours in Exuma that take 30-40 people on a boat, but we found the size of this tour perfect. The boat was comfortable and the trip was calm. You can call Bob ahead of time to find out what days he is running a tour. Another reviewer mentioned the choppy ocean - I can imagine this would be an issue, but the tour itself is fantastic, so just make sure you go when the winds/seas are relatively calm. We paid $160 per person (plus a $10pp landing fee) and thought it was well worth the trip. One of the most fun things we did in Exuma.
This review is the subjective opinion of a TripAdvisor member and not of TripAdvisor LLC.