Hi - don't know which islands you are visiting but you will be hooked!!! We did our first cruise in 2006 and have been back twice already - all the islands have lots of different excursions - would suggest you stay on the ship if it docks in venezuela but apart from that go for it - we were wary about doing our own thing first time round but it really is incredibly easy to find your way around and to do as little or as much as you want - as the previous writer says use local taxis - you can book them over the internet before you go and pay on return we have never had a problem with them not turning up to collect you. If you are visiting Bonaire then Klein Bonaire is a beautiful deserted islan you catch a water taxi from a jetty just up the road from where the ships dock and Pinel Island is an absolute must on St Maarten if you love snorkelling catch a taxi from the port. Hope this helps - have a great first cruise I am sure you will love it.
The first thing is to go to a cheap book shop and buy a couple of those travel books that you always see in there for half price! You can either get one that covers all the main Caribbean islands or a number of the very small books that is specific to each island or country that you are visiting. Then sit down and read them! They will highlight ALL the points of interest of each destination, and even put them in order of popularity sometimes. Pick out the ones that appeal to YOU (not someone else) and then consider how you are going to visit these places? Of course, you could just take the ships tours, if you are rich and not very adventurous? Some places may be within walking distance of where the ship docks, and you may be happy to just include those with a chilled out walk around the local town, since it is obviously going to be you first time you have been there. We actually walked from the Port, to Bridgetown, around the town, and back when we were in Barbados. It was all new and exciting to us, and didn't cost us a penny. If you want to go to the beach for the day or visit places of interest futher afield, then think about a taxi. On St. Kitts for example, we and another couple hired a taxi to take us to the beach in the morning, and then pick us up at a set time in the afternoon. You do not pay until you get back to the ship, and it is a fraction of the cost of a ships trip! We did the same thing in St Lucia. Make sure you agree a price BEFORE you set off though, and they will stick to it. Hope this has been of some help? Happy cruising.