The tiny, uninhabited island of Delos is known for its important archaeological finds, which date back to the third millennium BC. Eventually, the island became known in Greek mythology as the birthplace of the twin gods Apollo and Artemis and a major centre of the cult of Dionysus, the god of wine and hedonism. Still-standing highlights include the Temple of the Delians and the Terrace of the Lions, where seven of the original twelve snarling marble lions still guard the Sacred Way. Be sure to visit the Stoivadeion, a square erected in honor of Dionysus, where a giant statue of the demigod is flanked by two large pillars crowned by giant phalluses. Regular boat services connect the island to Mykonos, and you should plan on getting an early start to take in all the sites.
There’s also an Archaeological Museum in Mykonos, which holds more artifacts from prehistory to 1st century BC, including statuary, vases, and urns.