There's a lot to do on the high seas, but you'll want to make Peg Leg and Captain Kidd's treasure a priority. There's an extremely valuable Shard of Eden at the end of the treasure hunt that allows Connor to deflect shots fired on him!
The first four naval locations for Captain Kidd's treasure hunt are accessed from the East Coast map.
Here's the breakdown:
Naval Location - Unlock Requirement - Reward
Fort Wolcott - 1 Trinket found, Dead Man's letter 1 from Peg Leg - 1 quarter of Oak Island Map fragments
Dead Chest's Treasure - 6 trinkets found, Dead Man's letter 2 from Peg Leg - 1 quarter of Oak Island Map fragments
The Ghost Ship - 14 trinkets found, Dead Man's letter 3 from Peg Leg - 1 quarter of Oak Island Map fragments
The Mad Doctor's Castle - 24 trinkets found, Dead Man's letter 4 from Peg Leg - 1 quarter of Oak Island Map fragments
Oak Island - Completed Oak Island Map (only need the four pieces you've obtained from previous missions) - Shard of Eden allows you to deflect bullets
If you bought the Collector's Edition of Assassin's Creed III, you've got instant access to The Ruins at Cerros which rewards you with Captain Kidd's Sawtooth Cutlass. Oh, and let's not forget the roughly 20 grand in money you'll net from completing this optional mission path. Get to it, sailors!