It was easy to go to Mykonos on a direct flight from Milan with Easyjet. Easy, quick and cheap flight. I hate boats, I think they are wasting of time, so I usually find destinations to go by plane. I already knew Mykonos because I went there for a week during summer 2006. I really like this island, the Chora is really nice and "Greek". The beaches are wonderful, but at the end of July there are already too many people (for ex. at Paranga). I love the island but next time I will try to visit it in June or early in July. Too many young Italian guys after July 15th! :)
I read people complaining that Mykonos is an expensive island, but I can list you some more expensive and less beautiful places in Europe. Yes, some restaurants in Mykonos are pricey, but you don't go to Greece to eat in expensive Italian or Mexican restaurants. You go to eat "souvlaki, gyros pita" and I think those were very good and not expensive.
Mykonos is the island to have just fun, dance, drink and meet people. My favourite bars were Tropicana, Kalua in Paranga and Skandinavian. If you want to stay in Chora, I suggest to choose a hotel in the centre to be close to nightlife, otherwise you might have to walk for miles in the dark. Swim and dance all day, you will feel free in Mykonos.
Mykonos is really an amazing island. It's freedom, it's beauty, it's... whatever you want it to be! If you are not "open-minded"... please, stay at home :)