I went a couple of years back. as said Blue Lagoon is a must and the northern lights is a good one too.
Don't waste the money on a whale spotting trip unless they take you much further north. A boat out from Reykjavik will be lucky enough to see 1 porpoise (spelling) when we went we saw 3 and the the tour guide said that was a good day!!! we didnt see any whales at all.
theres a big shopping centre made out of 2 or 3 old silos, or something like that, cant quite remember, but its pretty cool just to check out the building.
we also went on a quad biking one day which was fun, but cold, the terrain is amazing.
yes its very expensive out there but i felt it was a good holiday and would go back one day.
if you plan to go out in the evenings you'll find the locals dress quite smart, trousers, shirt and tie etc even just to the pub, they seem to let off tourists wearing shirt and smart jeans but you would feel out of place in a tshirt.
look out for the mothers leaving their babies in prams outside coffee shops, its quite strange!