Island hopping is, unfortunately, not a possibility unless you've got the cash to charter your own boat. The prices for this are going down, but remain out of the range of the average budget traveler. All ferry routes go through the mainland, turning a relatively short distance into a long and expensive trip. Your best bet is to pick one island and stick to it – if you've got the cash to enjoy Guanaja, you're not missing that much on Utila anyway.
How you get around the islands themselves depends largely on their level of development, and will be covered in the individual sections. If you're on untouched Guanaja, expect to shell out for private water taxis. On more touristed Roatan by contrast, most places are accessible by road.