I went there on a cruise last Aug and these are the things I did:
In Grand Cayman, there's not a whole lot to do on the island as it's not a very big island. I went to the Hell rock formations, Sea Turtle farm, and Stingray city on a tour for like 50/person. I think it was worth it. If you scuba dive, I hear there are some cool shipwreck and coral formations off the coast.
In Cozumel, we took the ferry to mainland Mexico and went scuba diving in caves. You can go scuba there in Cozumel also, but we'd done that the year before. I liked it both times. There were also things like biking, snorkeling, 4 wheeling and shopping, so you can pretty much pick whatever floats your boat.
Hope that helps.