I've been to Nassau and Paradise Island (Nassau's neighbor just over the bridge) many times. I personally think it's nicer to stay on Paradise Island and go into Nassau for shopping, dining, etc. There is a really cool straw market that is an outdoor market filled with local vendors and crafters. There are glass bottom boat tours, sailing, para sailing, wind surfing, jet skiing, etc. Also, the week between Christmas and New Years, there is a huge festival in the city with something different going on everyday and night.
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