We have taken the ferry many times. I have done a few island tours when with new visitors. We usually hit 2-3 or the resorts and then end up at Shoal Bay East. If I were just going to a beach, I prefer Shoal Bay East but it is hard to go wrong with any beach on Anguilla.

You can get a cab/van at the ferry terminal and negotiate a tour or just go to the beach. Prices are pretty much set and the dispatcher should have that information.

Here is a link for Anguilla information and there is also a link for taxi rates under the "activities" tab.