I went to Iceland for New Years. Been there a few times, but mainly to iceclimb. Its a good time to go as its one of the few places the pound is strong! The ISK has lost 30% of its value vs the GBP in the last year. I haven't done much of the wildlife stuff near Reykjavik, but the glacier tours are quite nice and if you get there early enough in the season the ice is still blue. The largest tour company is Icelandic mountain guides and they are very good. If you can afford a private guide, also go to them as they have very experienced and helpful guides ( we have used them as private guides on 3 occasions and had the same guide every time as we requested him). Try the iceclimbing, but only 'cos I thinks its brilliant.
The Blue lagoon is a tourist rip off. The locals go to the local geothermal pools in the swimming baths(Árbæjarlaug Geothermal Pool,
Laugardalslaug Geothermal Pool).
The water from the blue lagoon comes as waste water from the geothermal power station. The hot water from the taps has a disturbingly sulphurous tang too.
Try the snorkeling/diving in the rift at silfra. Its amazingly clear water, 120m of visiblity at one point. Not much wildlife in the water mind apart from a few trout, but a nice experience especially if there is snow on the ground. If you do do see if you can get the price in ISK not euros. If you don't you'll get ripped off by the exchange rate ( we did and paid way too much).
Oh also inflation is quite high and some restaurants have not reprinted their prices and just have a notice saying that 20% will be added to the bill, worth checking for that!
There's loads to see, I've always concentrated on the climbing and everything else seems peripheral, but check out the icelandic mountain guides site and that will give you lots of food for thought (the Icelandics seem to like banana on their pizzas! and I thought pineapple was bad)
