I agree with Becca -- my best vacation was a bareboat trip around the BVIs (St. John, Virgin Gorda, Jost Van Dyke, etc.). Typically, you spend 2-3 hours in the late morning sailing to another island and then drop anchor, make boat drinks and explore. St. John and Virginia Gorda are lovely.
I've also been to St. Thomas and St. Croix, but I wasn't impressed.
If you're looking to stick to one spot, I recommend the French side of St. Martin (nice beaches, good food, nightlife and shopping for the ladies) Orient Beach is the only place to be -- lots of water sports and plenty of sights -- it's very European (i.e. topless) and one end of the beach is clothing optional. I'm spending a week there in February before going to the Miami boat show.
I've been to the smaller West Indian islands too: Nevis, Anquilla, Antiqua, St. Barts (very expensive) and Saba. They are all nice and have good beaches, but I would only recommend them if you're looking to relax, drink rum punch and spend quality time with your spouse -- there's not a lot of nightlife.
Cancun is for spring breakers... There's a lot of activity (bars, watersports, shopping) but the place has no real charm -- it's just too commercial for my liking. The street vendors and beggars are very persistent too.
Good luck! I'm sure you'll have a great time wherever you end up because it will definitely be warmer than Michigan in the winter!