VROOM VROOM! You know you want to rent a Jet Ski and fly around Perfume Bay like you're in a Bond movie. And you can. Jet Ski rentals are available all over the place—just walk down the beach or ask at your hotel. When you get sick of jet-skiing—if that's even possible—you can also kiteboard, parasail, and more. Blue Bay and Perfume Bay are water sport heaven.