Definitely worth bringing your own gear. My wife and I picked-up a couple good sets at our local warehouse club for ~$35 each. Both sets fit in a 29 inch suitcase, along with all of our clothes.

We stayed at Home Sweet Home and the snorkeling off their cliffs was amazing. Some guests were saying that snorkeling off the cliffs was better than the snorkeling they did when took a glass bottom boat ride out to the reef.