In short
Mykonos is a Cycladic island ten kilometres by fifteen, with the white Chora, its windmills and the Little Venice quarter. The landscape is the same as on neighbouring islands; the economy is not.
Delos, thirty minutes away by boat, is one of the major archaeological sites in Greece and was the sanctuary of Apollo in antiquity. The island is uninhabited and closes in the evening.
What it really costs
This is by far the most expensive island in Greece. In July and August a lounger on the organised beaches of Paradise or Psarou costs what a meal costs elsewhere, and there is almost no free sand left.
May, June, September and October halve or third the rates for identical water. It is the only trade-off that genuinely changes the budget here.
What nobody tells you
The meltemi, the north wind, blows hard from July to September and can cancel boat crossings to Delos or the neighbouring islands for two days at a time.
The island has almost no shade and no vegetation. In high summer, a day without an indoor fallback is punishing.
Taxis are extremely rare — around thirty for the whole island — and buses stop early outside the main beach routes. A scooter or a car is not a comfort but a necessity.