Concierge.com's insider take:
A fertile volcanic island and the center (along with Naxos) of the Cyclades in ancient times, it's not clear exactly why Milos is not more popular with non-Greeks. It's neither too commercialized nor too sleepy; it has terrain reminiscent of Santorini, with similarly dramatic cliffs; it gave us that nice armless statue; and it boasts about 70 beaches, many of them excellent. It is, however, a working island—a mining island to be precise—and the port, Adamas, is no charmer, though there are several beaches and a saltwater lake nearby. Plaka, the capital, is cuter, and there are catacombs in the vicinity of Tripiti, as well as the site of the discovery of the Venus de Milo (the Archaeological Museum makes do with a copy). Apollonia has several sandy beaches nearby. There's another great beach, plus natural hot springs at Paleohori, a nudist beach on the south end of the island.