The Bay Islands is a province of the Republic of Honduras and it is made up of three main islands: Roatan, Utila, and Guanaja. It has rapidly become a very important scuba diving destination in the Western Caribbean and it is blessed with the second largest barrier reef in the world.
Roatan is the largest and most developed island of the three. There are direct flights from Houston, Miami and Milan, Italy.
Your best bet is to fly to the Honduras mainland and from there you can reach the three islands either by inexpensive ferries or a 15 minute short flight from La Ceiba or San Pedro Sula.