Can't Beat Cheap, Informative, and Out of the Way Accomodations
I can't help but highlight JamboHouse in Lamu. The rooms were simple, but nice, comfortable and breezy with mosquito nets and a fan. All rooms have personal bathrooms (although in some cases they might not be attached to the room). There is a wonderful rooftop terrace where your included breakfast is served and you can just hang out while looking out on the rooftops of Lamu.
The German proprietor, Arnold and his excellent staff (Adam and Damaris), are incredibly welcoming. New arrivals are welcomed with fresh juice (an intro to the amazing juices you'll find all around Lamu), and a very in depth intro and history of Lamu by Arnold. He provided some great recommendations and has connections for local tours.
I highly recommend a Lamu town tour. Abbas, the guide, will pick you up at JamboHouse and you'll see more of the town than you could without a tour (and it's only 500 shillings/person or so).
If you book ahead of time, someone from JamboHouse will meet you as you get off the bus at the Mokowe jetty so you can bypass the crush of guys trying to get you to go with them. If you don't book ahead of time, there's a chance they're full, but any of the beach boys on the waterfront will know where JamboHouse is.