During the day you have Mullet Bay if you like mostly tranquil beach with no wave, turquoise water and white sand. You can also try Dawn Beach which is a little further away, but is still off the tourist beaten track.
On the French side you have Orient beach, European style beach with a lot of restaurants/bar who rents chairs/umbrellas too. My favorite is Kontiki (
http://kontiki-sxm.com/galerie.html ).
There are a lot of diving trips available too, just make sure they are really certified.
Shopping is OK, lots of jewelry stores, some good deals on perfume and Rolex. And off course cheap, very cheap liquor, cigarettes and cigars. Try
http://www.guavaberry.com/guavaberry.htm it's pretty good.
On the food side, there are a couple of great breakfast places in Marigot on the French side, in Grand Case you have some typical creole mini food court style on the beach, and there are many very good restaurants on both sides of the island with world renowned chefs. Just make sure to check reviews on trip advisors for restaurants. I liked La Marina in Marigot to go seat, have a drink and watch the scenery.
There are a few brothels on the SXM side, cheap fucks, you just need to be careful of your surroundings late at night. Casino wise it's on the Dutch side, club wise, I would stick to Maho on the Dutch side and a few places in Marigot too. I lived there for 7 years, never fucked so much, never drank and partied so much and almost never made so much money but after a while even that can become boring...