We have been to both Nassau and Grand Bahama Island. We enjoyed Nassau and the Paradise Island area so much more than GB.
The difference in the attitudes of the employees of the hotels and restaurants was like night and day. Grand Bahama employees were very rude and slow! (In GB tips are automatically included on all charges!) Nassau on the other hand was great people were friendly and went out of their way to treat you well. Tips were not included which was probably the difference in the attitude.
I would agree that the water is not as blue/clear in Grand Bahama. Also beaches are not as nice. By far the best area to stay is the Cable Beach area in Nassau. We also stayed at Westwind II which was a great place, near the casino, restaurants, etc. We stayed in Paradise Island for 2 nights, area was ok but pricey. Cable Beach was a much better location, unless you want a place like Atlantis--which was much too Disney Land for our taste.