We typically book private shore excursions wherever we cruise. Depending on the situation, we may book through the ship.
For Juneau, we love booking a small whale watching trip (6-12 passengers) and it is worth it. We have booked with Harv and Marv. As has been mentioned, we also did a combo tour with Mendenhall Glacier. If you like beer, we have also toured the Alaskan Brewery. They have a shuttle which picks up in front of their store.
Skagway- If it is available, the White Pass train is lovely (assuming the weather cooperates). The first time, we took the train up and the van back down which I prefer.
One time, we did a zodiak boat tour which was crazy fun.
Ketchikan is also a great walking town and we will be doing a "Lighthouse, totems and eagles" tour this September. It is through the ship because Princess booked the local tour company. We could not book directly with the company. I spoke with one of the owners and she explained this to me so we booked through the ship which costs $5.00 more than if we were able to book directly with the company.