My ex and I used to travel in our huge motorhome to Sanibel every winter and stay for a couple months at a time. Sanibel and Captiva are both very expensive, but beautiful. Some things that stand out to me offhand are:
1. Periwinkle Park is the only campground on the island. Even if you aren't camping there, try to stop by. Just say you'd like to plan a trip there in the future and ask to look around. Walk straight in a ways, and you will find a little gem. A wonderful duck pond with rare breeds of ducks from all over the world! You can feed them and they're beautiful. There's also an area next to the pond with ringtail lemurs, exotic birds, and if you walk all the way to the back, you'll find a "secret" area with tiny Key West deer. The deer are on the owners private property, but it's very easy to snoop through the fence at them and get pics.
And all for free if you're willing to ask to take a peek at the campground.
2. I think The Bubble Room restaurant is overrated personally, but I know others love it. They're very pricey. I prefer R.C. Otters, around the corner. You can sit on their patio and enjoy live, casual island music most days. Both are on Captiva.
3. Shelling is BEST at the bridge from Sanibel to Captiva as another said. Competition is FIERCE, so get a tide chart and be prepared (there are many tides, which vary greatly by the day, which baffled me when I first learned this). The good ones go amazingly fast. It took me a long time to realize all the good ones were going fast and that I was simply showing up too late.
4. THE BEST SUNSET EVER can be found behind The Mucky Duck Restaurant, at the tip of Captiva. Enjoy dining beachside there, listening to live music and an outdoor bar, or simply walk right through and go to the beach for the sunset, only steps from the restaurant. They'll even let you order a glass of wine and walk right onto the beach with it while you view the sunset. A very romantic spot. You can see the notorious "green flash" moment when the sun hits the horizon. Don't be fooled by the restaurant called Green Flash (or something like that). Keep on going to the end to The Mucky Duck!
5. The Ding Darling Wildlife Refuge is a must. Take the trolley tour. Very fun, they take you through the whole refuge on a narrated and easy-going tour, and you see all kinds of interesting wildlife and get an up close look at the wonderful mangroves. Very informative and worth the ticket price.
6. There is a grocery store! It's called Jerry's Foods and it's right on Periwinkle Way. It doesn't look like a grocery store, it's located in a large mall-like complex which also has a liquor store and various other shops. It's in a pretty setting with exotic birds throughout the outdoor emporium.
7. Definitely stop at the Chamber of Commerce/Welcome center that you'll find shortly after going over the bridge on the right. Make that your FIRST stop, it will save you TONS of trouble. There are literally thousands of brochures and nice older workers are more than happy to answer questions, give you maps, tide charts, and make recommendations. They are VERY helpful. They even let us spend the night in their parking lot once in our motorhome when there was a mix up with our campground reservations. Super nice folks there.
8. For "cheaper" (by Sanibel standards) dining, The Hungry Heron is a good choice with a wide variety of dishes.
9. Don't overlook the Causeway! That's the long road going to the island after the toll. You can pull off to the side, on either side and find a FREE beach, picnic tables and restrooms. A great place to just sit for hours and read, and there are actually some very good shells there too, especially at the ends of the beach. I've spend many hours there, just walking, sitting and reading, etc. Bring a lunch. Can't beat free, and it's very nice. People fishing, relaxing, etc. I've even seen a couple wedding receptions being held there, with tents set up, tables, banquet food and everything, and they let you do it all for free (you bring your own event things of course).
Boy, I could just go on and on about Sanibel and Captiva. Spent many winters there. One of the few things I miss about being with my ex were our winter excursions there every year.
Any questions, let me know. It's a wonderful romantic place, my ex and I share many special memories there; but save your pennies, because it is VERY expensive. As far as accommodations, I can't recommend any place, as we always stayed in our motorhome at their campground. I DO know many people prefer to stay just off the island where it's much cheaper and then travel onto the island for the day and evening. Have fun! Remember to stop at the Chamber of Commerce FIRST, trust me.
PS: I think another poster said this, but don't be fooled by the Shell shops!! The shells are NOT local and are poached from the Caribbean. Don't support that; go find your own REAL Sanibel/Captiva shells instead.