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Nassau & Coco Cay Recommendations???

Does anyone have any recommendations for Nassau and/or Coco Cay? I was interested in renting a waverunner, but Coco Cay is a rip off charging for drivers and passengers and I saw that a lot of people recommend not doing it in Nassau.

If anyone can give me their insight on that as well as any other recommendations of good things to do I would appreciate it.
I have been to Nassau few times . I love the beaches. go to Paradise Island. lots to see.
last time we tour an old castle and went to the Straw Market.
Coco Cay is a private island of RCL. I was not impress. Lots of jelly fish in the water.
I was also looking into the sea lion encounter at Blue Lagoon, but RC bought out all the time slots and then upped the price by $35 a person. That disappointed me. Do you know what the name of the castle was? I would be very interested in that. I'm also looking for some authentic caribbean food too. Thanks for the reply!!!
We did a Sting Ray swim. I think it was called Blue Beard's and it included a private island. We enjoyed that. It was reasonably priced also.