Going to Atlantis, bahamas. Does anyone have suggestions for restaurants which are not in the resort, and is it safe to venture off the resort property?

I've heard that the restaurants in Atlantis are very expensive, so we plan to eat at local restaurants some nights and cook in our room on others. I was wondering if it is safe to venture off the property, and if anyone has any restaurant/grocery store suggestions?

I don't know if anyone reading Redweek's forums has gone to Atlantis.