I highly recommend a trip to Shell Island. It was originally called Hurricane Island after a hurricane cut it off from the mainland.
You'll see what a beach looked like before we messed it up.
You often see dolphins in St. Andrews Bay and the Gulf. The tour boats will dock on the Bay side. You'll can walk over to the Gulf for good shelling. I would recommend going on a weekday when there are far fewer private boats.
Just be aware it's illegal to feed the dolphins. Unlike places where you pay a fee to swim with the dolphins, these are wild rather than captive. They stay at a distance unless they are being fed.
I've rented a pontoon boat from a place on Thomas Drive across from Captain Anderson's. That way you can spend all the time you want there. The boats have a capacity of 16 or so but it's better for 6 to 8 people. The rental place will advise you that you must not venture into the Gulf with their boats, a very good rule indeed.
Have a good trip.