For ancient Greeks Delos was the most sacred place, because Apollo and Artemis, two of the most important deities of the Greek pantheon, were born there. Delos is easy access from Mykonos island (about 30 min by boat) and we visited this very interesting small, rocky island while we were in Mykonos. The island itself is dry and not green at all, but full of history and also we heard that almost always there is sunny and very hot, but we were lucky that the day we went to Delos was a cloudy day.
Our day trip to Delos was one of the highlights of our time in Greece. I visited other Ancient Greek sites, but I really loved Delos because you can walk along the streets and into the houses of this ancient city. There is a cafe and museum as well. The museum is within the archaeological site and it is included in the ticket you pay for the archaeological site once arriving on the island. We enjoyed exploring the thousands of articles recovered from this World Heritage Archaeological Site.
So, if you are in Mykonos you must visit this small Island. Yes, it is small and huge at the same time if you want to explore it in details. If you love history you would need a whole day to explore the Island in full.
Keep yourself happy!!!