Deep Water Cay, Grand Bahama Long one of the Bahamas’ best-kept secrets, Deep Water Cay is Grand Bahama’s most legendary resort, with an emphasis on world-class fishing set off the far eastern edge of Grand Bahama. The property, which first opened in 1958, is a mix of private homes and beachfront cottages, the latter perched directly on the sand. It’s also a celebrity favorite, hosting everyone from Liam Neeson to Tom Brokaw.