Woody's is a great place but there are better places on St. Thomas. Tickle's in Crown Bay. Duffy's Love Shack in Red Hook to name a couple. Jost Van Dyke is worth a try. So is Peter Island but you'll need to rent a boat to do that. Water Island is great and getting there is pretty easy via the Kon Tiki Glass Bottom boat.
http://www.vinow.com/ -- great links here for the US VI. You will like it for SURE!