For the longest time, September and October in Grand Cayman was referred to as rainy season. However, ever since Hurricane Katrina hit New Orleans and the United States were so greatly affected by this terrible hurricane, the media has taken rainy season to a whole new level. There is non-stop coverage of every tropical depression that begins to form. Very rarely do these storms amount to a hurricane and even rarer do they strike Grand Cayman. The biggest advantage to a hurricane over a tornado or earthquake is that you know well in advance that the hurricane is coming. This gives you ample time to get off the island and cut your vacation short, if necessary.
I've been to Grand Cayman numerous times in September and October and never even thought twice about it. It's a beautiful time of year as the ocean is still hot from the summer heat, but the evenings cool down enough that it's comfortable enough to eat dinner outside. Even if it does rain in Cayman, it's almost always a passing shower, with warm rain, around an otherwise sunny day. Very rarely does Grand Cayman see a completely cloudy day full of rain that is often seen in the States. In fact, the rain can feel quite refreshing on a hot day and it doesn't even stop you from swimming, walking down the beach, snorkeling, or any other outdoor activities.
So the next time you are trying to plan a trip, take advantage of the cheap prices, small crowds, and very quiet island and visit Grand Cayman during rainy season. You might get a few raindrops, but you will save money and still enjoy everything that the beautiful Cayman Islands have to offer.