We've traveled to Turks & Caicos many times; several visits to Providenciales (Provo, as the locals call it) and once to Grand Turk.
Provo is the most developed and highest populated of the islands. Each time we visited, we were traveling with a small group of friends and rented a villa to accommodate all of us. Being able to cook for ourselves and buy our own liquor and wine, helped defray part of the food and beverage costs. Each villa had a pool and ocean access, so we felt it was a more private experience. There are many to choose from and there are websites dedicated to T&C villa rentals. If this isn't an option for you, there are many hotel options.
We used rental cars as our transportation to get to the dive boat, restaurants, shopping areas, and exploring. Restaurants range from five star gourmet to small local food joints. One of our favorites is a local spot specializing in the conch taken directly from the ocean to the restaurant’s kitchen. In Provo, there's food available to please everyone.
This island has a lot of gorgeous beaches, and its most popular one is Grace Bay Beach, which makes every world's most beautiful beach list. The turquoise water of Chalk Sound is likely the most beautifully colored water anywhere on earth. Other topside activities are too numerous to list here. There is also a robust nightlife.
The scuba diving around Provo mostly concentrates around the great wall diving of Northwest Point. This area can be crowded with boats from several dive operators. The dive shop I used took us instead to West Caicos, French Caye, and Sandbore Channel. The wall diving at these sites was fantastic. I can't remember a single dive that sharks weren't spotted. These locations require a longer boat but are worth the trip.
Grand Turk is a smaller, quieter, and more laid back Island. We stayed at a beachfront dive resort with only 16 rooms. There are beautiful beaches here as well. Topside activities are limited to watersports, beach combing, and exploring the island, including Cockburn Town, the very small capital city of Turks & Caicos. We went beach combing and found a good collection of sea glass. Keep in mind that cruise ships come here and the town may be crowded when a ship is in port. Most of the passengers stay at the cruise center, an enormous facility with restaurants, shops, a simulated surfing machine, and one of the largest swimming pools in the Caribbean. I highly recommend staying away from this place, as it is mostly a tourist trap packed with people when a ship is in.
The dive sites here are much closer and require only a short boat ride. We did mostly wall diving with swim throughs, canyons, and coral arches. There's an abundance of corals (including black coral at easily diveable depths) and plenty of marine animals, including friendly groupers.
Bottom line: Turks & Caicos is not a budget destination. Prices here are higher than many other Caribbean locations. That being said, it is one of our favorites. The beauty, people, food, and spectacular diving are all top notch. Don't forget to drive on the left!