You can allocate a day to shopping in Philipsburg, but there are few bargains. Many of the so-called discounts are more expensive then the same item would be in a US discount store. Liquor made outside the US is very cheap and bargains can be found in cosmetics as well. Watersports are abundant. Water skiing, parasailing, sailing, wave runners, can be found at several of the larger hotels.
Prices can be high, though.
Snorkling around the island is mediocre. Much better snorkling can be found elsewhere, but you need to take a boat. In particular, there is an underwater park on the north side of Anguilla, but it's about an hour by boat. Scuba diving around St. Martin is also mediocre. I don't waste my time anymore.