We took a bus on our own to Magens Bay. It was like $20 per person for the trip to and from, and I think that included the price to visit the beach. There are buses right outside the port, as well as "Officials" that can point you in the right direction.
I've heard it can be a little crowded there, but it wasn't too bad when we went. It's a site worth seeing at least once. We stayed about 2 hours or so. It started raining so we headed back. That let us watch some of the other excursions come and go.
The pirate ship excursion rolled in while we were back in our cabin. It looked cool, but I'm not sure I'd want to do that one.