I used to have clear-cut thoughts about what to check and what to carry on. I had the idea that I would carry on those items I would most hate diving without, and/or that are expensive or hard to replace. So I carried on my computer, mask, lights, regulator set, some clothing items, and some personal items, and I checked my BCD, fins, wetsuit, and remaining items. Eventually, I gave up my compulsion for carrying on the reg set and just put it in the checked bag, nestled in the wetsuit and clothing. To echo what someone said above, lost baggage is not THAT common, and more often a bag just shows up a day late. I can tolerate rental gear for a day, even a week if I had to.
As for Cozumel, flying into Cancun and taking a private van or a bus is no big deal. I can't say I prefer it to flying directly into Cozumel, but if the cost savings are significant, the extra ride plus ferry doesn't bother me at all. As others said, compare prices, tallying up the various costs of each option.