Food: cross the main street from the Anchorage hotel entrance, south a little bit, there's a Texaco across the street from a big building that says "COURTS" (I think it's a brand name of some sort, it looks industrial, not a courthouse). There's a brightly painted shack inside their fenced area, kind of round back, that's Cindy's snackette. Best lunch we had for the price. No real sign or menu - might want to ask one of the Anchorage DM's if they mind taking you over there and showing you the ropes the first time. I think Sherman and Kian eat there most days for lunch after diving anyway. But if you're with Fort Young and they plan to boat you back up to the hotel after your dives, you might be just as well off eating in town. We liked the Garage, wanted to eat at La Maissone, weren't that impressed with La Robe Creole. The Irish place (blanking on the name - you can probably see it from the Ft Young lobby) wasn't bad either, or Perky's pizza for a western-palate refresher. Oh, and try the smoothys that guy sells off the street across from the Ft Young and let me know if they're any good! We kept missing him somehow coming into town at the wrong time.
You can do the market thing Friday night, as early as probably 8-9 pm if you want to buy some local fruit or whatnot to put in a fridge for snacking on, breakfast (if you don't have any included with your hotel stay) or whatnot. I was told it didn't really get hopping until late, like midnight and thereafter, and the real crush was Saturday early like 0500. Too late / early for my blood, respectively, after diving.
Exchange your EC$ at the bank if you get a chance - and the bank is only open 'late' on Friday. No one really rips you off, but the 'personal' exchange rate is a little on the rough-estimate side (can tend to as low as 2:1, while the bank gives a pure 2.68:1 ratio to US$.
I can't suggest which pools/falls are the 'best' as we only saw a couple, but those we saw did not disappoint. I'd guess you can't go wrong anywhere, pretty much.
Don't be bashful about flagging down the minivan-taxi's, and keep a pocketful of EC$1 coins for the taxi fare which should be EC$1.50 - 5.00 per person unless you're trying to cross the entire island. It will save you huge amounts over private taxi fares (start at about EC$20, or we were just easy marks).
the water is perfectly fine to drink out of the tap. If you got a fridge, just buy bottled water once and re-use the bottles.
Definitely plan on spending at least one evening in Wotten Waven, hanging out in tubs and/or sulphur pools. We liked Screws but truth be told they're all probably good. Get a rum punch early from Screws though...he runs out and you're stuck with only juice (still quite good, but no bite!) if you soak too late.
See if you can find the cruise ship schedule and make it a point of being away from town those days so as not to be lumped in with the other cattle. I think they were in Tuesdays and Saturdays when we were there.
Seriously do your best to not exceed the luggage requirements on the way there, as they are quite stringent on the way back. Not sure how the recent charging-for-checked-bags bandwagon the domestic carriers are all on is influencing the return flight, either.
