Be careful when you're on the beach. The whole coastline of Watamu is considered part of the marine park, whether you're at a public beach or a hotel right on the beach. Because of this, there are park officials (who may not be dressed as such) who enforce the rule that says: swimming and being in the water is fair game and free until you put on some sort of mask to see the marine-life, it costs money to enter the water with a mask on. So don't be suprised to have to pay a man once you return to the beach.
Not really a danger, but be aware that the electricity supply can be a bit erratic with the occassional blackout. When we were there none lasted longer than 5-10 minutes. If it happens at night take the opportunity to look at the stars as they are much clearer than you see at home where we have so much light pollution!