A few practicalities: As you might expect, the Cyclades are crowded and expensive during high season -- roughly mid-June to early September -- and high season seems to get longer every year. If summer crowds and prices don't appeal to you, visit during the off season; the best times are mid-September to October or May to early June. April can still be very cold in these islands and winter winds can be unremittingly harsh. Should you visit in winter or spring, keep in mind that many island hotels have minimal heating; make sure that your hotel has genuine heat before you check in. And, keep in mind that island boat service is much less frequent off season and that many hotels, restaurants, and shops close for the winter (usually Nov-Mar). Whenever you visit, you'll discover that most hotels charge a supplementary fee of 10% for a stay of fewer than 3 nights. Finally, it's useful to remember that on most of these islands, the capital town has the name of the island itself. In addition, "Hora," or "Chora," meaning "the place," is commonly used for the capital. The capital of Paros, Parikia, for example, is also called Hora, as is Apollonia, the capital of Sifnos. Just to keep you on your toes, Apollonia/Hora is also called Stavri. When you're in island capitals, try to pick up the handy Sky Map, available at many travel agencies; there's a map for almost every Cycladic island. Although the businesses on these maps pay to be included, the maps are quite useful.
Although the Cyclades are bound by unmistakable family resemblance, each island is rigorously independent and unique, making this archipelago an island-hopper's paradise. Frequent ferry service makes travel easier -- although changes in schedules can keep travelers on their toes (often on their toes as they pace harborside for ships to appear at unpredictable hours). Hydrofoils, in particular, are notoriously irregular, and even summer service is often canceled at the whim of the meltemi (blasting winds). Still, the growing fleet of catamarans is greatly facilitating travel between the ports of Piraeus and Rafina and the Cycladic islands.
Foodie Alert! -- Invest in a copy of Miles Lambert's Greek Salad: A Dionysian Travelogue (The Wine Appreciation Guild, 2004), which shows you where to find the tastiest local delicacies -- here in the Cyclades and elsewhere in Greece. It's a travel guide, but it reads like a novel.
Museum Hours Update -- If you visit Greece during the summer, check to see when sites and museums are open. According to the tourist office, they should be open from 8am to 7:30pm, but some may close earlier in the day or even be closed 1 day a week.