Top 5 things to do in Mykonos:

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Shop in Mykonos Town (also known as Chora). It is about 1.2 miles from the cruise dock. We took a bus each way that picked us up from the port.
Mykonos Town is a beautiful Greek town full of white buildings with either blue or red doors and painted "stepping-stone" streets. The streets are filled with cafes, souvenir shops, boutiques, and jewelry shops. The shops are beautiful with lots of shades of blue, turquoise and white items.
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Wander the side streets. Mykonos is a beautiful town! Wander up the hill and you will find little churches to wander in or get picture stops. There are lots of room rentals above Mykonos Town....it made us grateful we didn't have to lug our luggage up, (or down!) that hill!
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Visit the windmills. Just to the south of Mykonos Town are the iconic and super photographable windmills of Mykonos, (known as Kato Mili). They are no longer functioning, but they used to mill wheat and were an important source of income for the town.
One of the windmills has been transformed into a museum. You also have a great view of "little Venice".
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Visit a beach and swim in the ocean. You are surrounded by beaches in Mykonos. We asked the locals were the nearest beach was and then walked there. If you have time, you can take a cab to one of their further beaches. We didn't want to get too far away from the port! The water is incredibly warm but be warned - the beaches are not perfect sand beaches. They are a little rocky and the ocean has large rocks throughout. My best advice - wear water shoes, (like a pair of Teva sandals) to protect your feet!
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Visit a Greek Bakery. If you walk along the pier back to your bus drop off, there will be an excellent Greek bakery on your right. The food was delicious!

We LOVED visiting Mykonos! My kids thought the shopping here was some of the best and the island is so unique and pretty. This is a 100/10 stop!