Key West is great. We go every year for a week. Fantasy Fest is the last full week of October, sometimes it hits Halloween but not always. Lodging is extremely high the week of FF.
Lots of great places to stay. Lots of B & B's We have stayed at Heron House on Simington and love it. Upper end hotels include The Westin, Hyatt, Casa Marina, Pier House and Southernmost on the beach.
So many great restaurants. We always go to 7 Fish on Oliva, Louie's Back Yard on Waddle for great ocean front dining, A&B Lobster on the bight harbor. We always try out at least 3 new places every trip. We never eat on Duval St.
Bars, lots of bars. Of course you have to stop at Sloppy Joes, Hogs Breath, Capt. Tony's , The Bull and Whistle, the 3rd floor is The Garden of Eden, a clothing optional bar. All these are on or just off Duval. Find Kelly's and The Smokin Tuna, fun places. Our first happy hour is at The Conch Republic on the bight for KW pinks peel & eats. if you like shrimp ask for royal reds hot with butter, just like lobster not on the menu. Alonzoes on the bight great HH with half price apps. Schooner Warf Bar in the afternoon with Michael McCloud playing. try to hit Louie' back yard the upper deck for a night cap. There are maybe 500 more bars that I have not mentioned

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Check out Bo's fish wagon for lunch, great grouper sandwich. Try hogfish at The Hogfish Bar&Grill on Stock Island. Right on the docks.
The little White House and Hemmingway's tours are well worth it. Also the trolley tours are very informative and have get off/on privileges.
Get out on the water. A day sail or at the very least a wine and sunset sail. Lots of options, we like Danger Charters. Last trip we took a biplane ride. That was really cool.
We always drive. Love the trip through the Keys. We go from TV to Marco Island, Naples or Miami for the night. Leave around 10 the next morning. Lots of places to stop for lunch but our favorite is Sparky's Landing in Key Colony Beach. We always have fish taco's, the best we have ever had and fish grantee along with a couple spicy Bloody Mary's. Almost always stop at the world wide sportsman in Islemorada just to look at stuff. Another good stop is the Sunset Bar & Grill at the N end of the 7 mile bridge. On the way back from the Keys we take the Card Sound cut road and have Lunch at Alabama Jacks, a great dive bar/grill on the water.
Find a lot of information at trip adviser.
Key West Forum, Travel Discussion for Key West, FL