Mykonos was the first Greek island I went, about 4 years ago, and this summer I went back for a second visit.
Mykonos hasn't changed a lot, only the wildlife is a bit wilder with ungly transexual shows which really ruin the image of the island and come in contrast to the beautiful beaches.
If you step out of Chora and Super Paradise, you will see a couple of beautiful settlements, high hills with great view and friendly people. I really love Mykonos and don't like it when people are thinking of Mykonos as an "orgy island" with sex shows. This doesn't match to Mykonos or to Greece. I personally avoided these clubs because some people get drunk and cause troubles. Chora is a very beautiful place, probably the best town in all the cyclades islands I have visited. I love the small streets and the busy shopping, the nice taverns in Little Venice and the small boats at the port. You can see many picturesque scenes in Mykonos if you take notice, like fishermen doing their nets or priests making the service in the small churches. I attended a service by chance in a small church in Ano Mera (although I am not Orthodox) and found it really rejuvenating.