The desserts are definitely big enough to share, HOWEVER, I wouldn't, haha. You will be wanting to try more than one and it is best that you and your other half order your own so you can try each other's! The wine is good but the best thing about all the drinks is that the glasses are usually rimmed in chocolate, white chocolate, caramel, etc. My girlfriend had a "Mandy's Man Candy", it's a strawberry beer with a chocolate rimmed glass, and I had an "Adult Apple", which was a apple ale with a caramel rimmed glass. Both were absolutely great.
We really enjoyed Grunt's and have never heard bad things about anyone's experience there. Prices are reasonable and food was great. I believe there happy hour was until 8:00 as well. I believe the happy hour may only be just food, not quite sure. It was still worth it. Atmosphere was great too, which is probably the most important since that is why we are visiting.
As far as Kelly's, I'll say this about the margaritas...everyone was ordering them, hahaha. The margaritas were 2 for 1 and really good. The wings were half price, as well, and pretty good. I enjoyed Kelly's, there were good folks there.
If you enjoy raw oysters, I would recommend sitting down at the White Tarpon. When we were there they had .50 oysters all day everyday. They were pretty good...I mean, we did eat about 3 dozen, haha.
I'm sure you will have a fantastic time. Can't wait to hear about your experience.
Thanksgiving in Key West should be fun. I absolutely enjoy Key West. My suggestions are not too far off from the rest of the recommendations posted here. In fact, I have added a few to my list that people have recommended here.
First I would be remiss if I didn't mention the absolutely best dessert place in the U.S, haha. It's called "Better than Sex". I believe, there new address is on the corner of Simonton and Truman. They are open from 6pm to midnight. They are always busy so MAKE RESERVATIONS!!! Several people are always turned away. I truly believe this is a MUST in Key West.
A great little lunch spot to visit is called "Lobos Mixed Grill". They have salads, wraps, and burgers. All are delicious and I felt as though the portions were huge, especially the wraps. I'm a pretty decent sized guy and could only finish half of my wrap. All are very decently priced and very tasty. This is an outside eatery located on/just off Duval.
As someone already mentioned, "Blue Heaven" is a pretty good place. We only ate dinner there but it was very good. I believe the seating was all outside with the roosters, haha. Food and drinks were great. Not overly expensive but not cheap.
I thought "Grunts" was very very good. We had drinks and dinner there and were completely satisfied. The happy hour was even pretty good.
"Kelly's Caribbean Bar" across the street from Grunt's was good for Happy Hour. We didn't eat dinner there so really can't comment on it. Seemed like everyone was enjoying it though. There Margaritas are 2 for 1 on happy hour and Thai wings are very good.
One last place you can check out is maybe Michaels Restaurant. I really wanted to check out their fondue menu at their garden bar.
Sorry about being a little long winded, haha. We'll be going for New Year's this year. Have a great trip!!!