I went to see the Lost Colony this summer the week before July 4th. I've been twice before in the last two decades. Each time it was an enjoyable show, well worth the money. This year was very good the only criticism I might have is they have started using wireless mics and they were having all kinds of trouble with them but other than that it was very well done. The story is not historically accurate but the play itself is done well.
I would recommend getting your tickets in advance as some nights fill up quickly. The night we went there were very few empty seats. The bug spray comment is a very necessary idea. Remember you are in Carolina where the mosquitoes are the state bird!

I'm sure you will enjoy it.
We also took some time and went to Festival Park in Manteo. Again, that was well worth the time and money. They have a small watermen's museum and a colonial ship and settlement you can visit. There is also a short historical movie of how Manteo and Wanchese got their names. The movie is called the Legend of Two-Paths. It is worth a look. We also went on a Ghost Tour in Manteo at night. This was fun but a little over the top. We enjoyed the story-telling aspect and the tour around Manteo at night but they tried to play off the "Ghosthunters" series a little and that was tiresome. My wife and I and my 14 year old daughter found it to be great fun though, a little pricey at $13/person, but we enjoyed it. We hope to go on the graveyard tour at sometime in the future. The fellow that does the tour works at Festival Park and has a great Irish accent which makes the story telling that much better.
I hope you enjoy the Lost Colony!