Re: Marthas Vinyard
I had a friend who anchored out for the entire summer last year near katama bay, but on the other side. in Google Maps, type in Harbor View Hotel & Resort, Edgartown, MA. He achored right near there. Plenty of privacy if you go far enough out, and you shouldn't have any trouble achoring.
Edgartown is very nice, good food and scenary. Close to the beaches, they also have nice lodging if you want a few nights off of the boat (most likely you will have to wait till after the holiday to get a room).
The only thing about Katama Bay is that its a little far away from Edgartown for when you want to get off the boat and hop on shore.