Born and raised Key West Conch, long since left the island but still make it home often. As others have said, bring your own stash, lots of overpriced tourist trap cigar shops up and down Duval Street. There is a decent shop in Islamorada, on the left as you head down US1 from Florida City. There are a number of decent places to have a smoke. I particularly like Meson De Pepe, sort of a touristy cuban/spanish restaraunt down on Mallory Square. Food is pretty good, drinks are solid, but has a cool outside bar right on the cruise ship let-out. Late night, once the cruise ship has left, and the day tourists are all gone, its a cool spot, usually live music, often Cuban rhythms, outdoors, roosters running around, great overhead banyan trees, and you can smoke at the bar. They have a decent cigar shop in there also. Just a cool spot to kill a night, or wander on.
I could tell you a 100 things to do and 50 places to eat and drink but that aint really the point of the Keys. Just come, keep the plans light, eat and drink too much, have some cigars, and make sure to stay out late on Duval, we usually just begin to trully party when the rest of the country goes to sleep. Start at Meson, work your way down Duval, end up at he groovy transvestite bars Aquag and The Beach late night, finish with a champagne and key lime pie at La Te Da. Wife will think you are a God.
There is also a good cigar bar on the Atlantic (less crowded) end of Duval across from the brothel, always fun to have a stick and a beer on the porch and watch the Johns go in and out.
Just my 2cents....welcome to my island.
