Sunset House takes walk-ins but you're required to use their tanks on-site. Any of the divesites with resorts on them (most of them) are similar. We just rented on-site at all of them.
The two places to rent tanks I know of - there's not many others - are Eden Rock downtown or Divers Supply in West Bay. Eden Rock is also a shore dive but suffers from decades of cruise divers - the port is 500' away. One of the caverns collapsed recently when a container ship grounded over it. There's 2 dives there - Devils Grotto is south but accessible.
South of Sunset House is Smith's Cove - I've not dove there but people do. Bring your own tanks/weights - Sunset House won't let theirs off the property.
There's also an average dive called Cheeseburger Reef out front of Lobster Pot Dive Center which is about 1/4 mi. north of Eden Rock. 3-4 operators are based there so someone likely can rent you tanks.
Next shore diving is 6-7 miles north past Seven Mile Beach. Cemetary Beach is a shallow site there.
A few minutes north of that is both Lighthouse Point and arguably the best shore dive on Cayman a little farther northeast - Turtle Reef. Lighthouse has Divetech on site for tanks. Turtle Reef has Sundivers (no website but it's there) for tanks. Since you use their facilities you rent from them.
Turte Reef is a good dive, there's a mini-wall about 50' out that parallels the shore - to the south in about 40' there's a Tarpon Cave with dozens milling aorund - move slow and you can get in among them. Also from there or Lighthouse you can swim out ot the north wall but it's a distance so maybe better done partly on the surface.
East of there is Cobalt Coast resort with Reef Divers onsite - IDK them at all.
Two more affordable resort options are Comfort Suites or Sunshine Suites - neither on the beach but close and both have a dive operation - one of my favorites is Ambassador Divers at Comfort but their boat is a few minutes away in the marina.
Another option is there's a couple of condo complexes on the north wall with their own acccess (ladder over the ironshore) Coconut Bay? is one but all 2-3 br. condos. There's a couple of 1BR rentals at Hepp's Condos - from there you can access Hepps Wall/Arch also. I've read you might have to place the ladder there occasionally - they don't leave it in the water. Lighthouse Point also has condos on-site but they're nicer and more expensive.About 20mins. to town from there and not much nearby - a couple restaurants. Macabuca Tiki Bar is at Turtle Reef - short walk from Coconut Bay - it might not be "Bay".
Some older info on most of the sites - some of these no longer exist.
Scuba Shore Diving Site Listing for: Cayman Islands, Caribbean Videos of many of them can be found here -
idivecayman.com
fyi - nothing is inexpensive on Grand Cayman. They fix their CI$ at .80 US$ so you're 20% down on arrival. Plus everything is imported so pricey.
my husband and I really love shore dives
You know about Bonaire and Curacao right? About the only reason to boat dive on Bonaire is to get to 25 sites off Klein Bonaire - if you tire of the 60+ shore dives along the west coast. Curacao isn't as many (50?) but the entries are much easier - usually off the beach instead of over the ironshore.Curacao even has the Dive Bus - run by great people, Suzi and Mark.