In Marathon, in front of one of the more popular waterside restaurant/bars, Dockside, is a mid sized anchorage where I saw a half dozen big cats anchored during the past month. It's just a short dinghy ride to the shopping center and Publix, and you could throw a rock and hit the bar patrons.
Farther down Boot Key Harbor there is a large anchorage where dozens of boat awaited a mooring ball from the City Marina. Short dinghy ride to the marina and their facilities, however, they do charge for the showers, laundry, pumpouts, etc...
Just outside the mouth Of Boot Key Harbor, there is a nice cove that is sheltered from every direction by the west. Westerly winds are rare down there in the winter months and there were about a dozen sailboats anchored there when I crossed 7 Mile Bridge last week.
At Key West, sailboats used to anchor between Key West and Christmas Tree Island. It can be a bit rough there at times, and the boating traffic can be somewhat busy during the day. After sunset, not much boat traffic at all.
Across the Northwest Channel from Key West is a great anchorage in Mule Key Basin. Depths there ranged 6 to 12 feet, there is an entrance marked by day markers, and the entire basis is surrounded by very shallow flats, which keeps the waves to a minimum during some of the nastiest weather. Holding there seems to be good as well, and I've seen some shrimp boats anchored in there a few times.
When you want to get away from it all, sail down Hawk Channel to Boca Grande Key, turn right in Boca Grande Channel and there is a fantastic, sheltered anchorage on the northwest side of Boca Grande Key., Depths range 12 to 18 feet, the bottom is littered with spiny lobster, and panfish such as lane snapper, grunts, and others are very abundant. The trip from Key West is about 16 miles. No boat traffic at all, and usually only a handful sailboats anchored there at any given time. There are times when I've had the entire area to myself for days on end.
Just west across Boca Grande is the Marquesses Keys, a 5-mile diameter atoll that has a couple totally protects, but small anchorages within Mooney Harbor. The best, and easiest to access, anchorages are situated on the east side of the harbor and there are two inlets that average about 5 to 7 feet deep leading inside the atoll. Totally secluded most of the time, but I'm told this can be a buggy area during the summer months.
When you reach the Marquesses Keys you area just a long day's sail from the Dry Tortugas. It can be a rough ride across Rebecca Shoals, depending on the tide flows and wind direction, or a piece of cake. The anchorage in the Dry Tortugas can be nasty of great, again depending upon wind direction and velocity. It's a beautiful area, though and if you're an avid diver or snorkeler, this is the place to be.
Hope this helps,