What are some nice towns to visit in the Southern gulf coast part of Florida?

I'm planning on going to the Tampa Bay area and taking Route 41 all the way down to Naples. Is Naples nice? What about towns like Venice and Bonita Beach? And does anyone know if some decent, not too expensive places to stay and fun stuff to do for a single woman in her 30's (I love nature and the beach but I like the nightlife and shopping as well)? Thank you for any recommendations. I'm looking forward to it! What's the weather like now down there if you live in that area?