When we go to Cozumel there are several beach clubs to go to. For an entrance fee they provide chairs, umbrellas and all inclusive food and alcohol. Then other services can be purchased liked massages, water sports, parasailing, etc. Is there anything like that in Key West?

Wow! Let me say first that there are no really good beaches in Key West. The keys are coral and all the beaches are man-made and most are tiny.

So, no, there are no beach clubs like you describe.

There are other venues that supply massages, water sports, parasailing, etc., but they're not connected.

It is really worth going to one of the beaches then and hanging out for awhile? I've seen pictures and they look nice. Which beach would be good to to check out and maybe get some pictures?

Depending on your hotel, several have attractive, small beaches for hotel guests only. Smathers Beach is the public beach. Some of the hotels W of the Airport on Roosevelt have pools looking across the street at the beach. Smathers is narrow and close to the street.

The point is that KW beaches are not Daytona or Miami Beach. Enjoying great weather by the hotel pool is the more common sun fest.

Ft. Zachary Taylor is the nicest beach in Key West
http://www.fortzacharytaylor.com/

Bahia Honda is the nicest beach in the keys.
http://www.floridastateparks.org/bahiahonda/

Both are state parks

A lot of those photos of hotel beaches are deceiving. Postage stamp beaches with somewhat brackish water. Key West is not a beach town. It is a drinking, partying, chilling out town.