This was a Spring Break trip (March 2001). I first flew to Providenciales (Provo), the most populated island, and spent a couple of days hanging out at the beach. Then I went to the island of Grand Turk (the capital) to go diving for a few days. I liked Grand Turk a lot more. There are few tourists, most of them scuba divers, and it's much more laid back.
The diving is excellent. Just a short boat trip offshore is a wall and the reefs are in excellent condition. The dive sites are so close that usually we came back to shore between dives. I went out with Oasis Divers and recommend them highly. We saw some Humpback whales (and their calves) and also went snorkeling with a group of dolphins that was swimming by. Tried that with the whales, but they weren't interested in playing.
In Grand Turk I stayed at the Salt Raker Inn, which was basic but reasonably priced. It has a good restaurant and is right next door to Oasis Divers. There are several other restaurants within easy walking distance (I didn't rent a car).
I rented an underwater camera for one day. Here are a few pictures.