The historical exhibits focus on the early days of Key West and the building of the Overseas Railroad. Building that railroad was a fantastic engineering feat and they have several displays that really show just how fantastic. They also have several great displays illustrating what life was like in the Lower Keys during the days of Hemingway and earlier. I think a lot of us are closet history buffs so I think that stuff is cool.
They also have several exhibits of artwork from local artists and, hands down, my favorite exhibits are the bas relief wood sculptures by Mario Sanchez.
Mario based many of his characters on actual local folks and the museum does a nice job of sharing some of the back stories of the people in the works. If you look carefully, you'll notice many of these people as recurring subjects. You may also notice that the atmosphere of tolerance and acceptance in Key West goes back at least 100 years. It's evident in many of his pieces.
We waited over a year to visit the Custom House but, once we got there, I was delighted. It's definitely worth the time.