Sicilians take their food very seriously indeed, and however they make it in their town is the best way. As a result, pretty much anywhere you go on these islands you'll automatically find yourself eating Aeolian. If an Aeolian talks about "foreign" food, chances are he's got Calabria, or even Palermo, in mind rather than Beijing. A couple of the key local flavors are finocchio selvatico (wild fennel) and capperi (capers), including the larger and even more delicious cucunci. And of course fish . . . lots of fish. Some to keep an eye out for are gamberi di nassa (deliciously sweet prawns), mupa (a deepwater fish), scorfano (scorpion fish -- hideous to look at, delicious to eat), and cernia (grouper).
Sweet Malvasia is the Aeolian wine, and although some dry wine is also made on the islands, you're best off opting for something from the Sicilian mainland with your entree, and having a drop of dolce Malvasia with your dessert. And since nobody does dessert like the Sicilians, you'll be spoiled for choice: cassata (sponge cake with ricotta and candied fruit), cannoli, and granite just for starters. The granite in these parts, a sort of mix between a sorbet and ice cream, is traditionally made from local almonds, coffee, or any fruit you can think of. Served with a brioche, it makes a fabulous breakfast; on its own, it is a cool, refreshing treat.