Delos, sometimes spelled Dilos, was the most important Panhellenic sanctuary, and, according to mythology, the birth place of Apollo and Artemis. The first signs of habitation on the island date from the 3rd millennium B.C., and important remains of the Mycenaean period have been uncovered in the area of the sanctuary. In the 7th century B.C. Delos was already a known Ionic centre because of its religious importance as the birth-place of Apollo. The Delos archaeological sanctuary is listed by Unesco as one of mankind's most important cultural and historical sites.
A narrow channel separates Delos from the island of Rhenia, where there is an important burial ground.
The Cyclades received their name in antiquity because they form a rough circle (κύκλος/kyklos in Greek) round the sacred island of Delos. History of Delos http://en.wikipedia.org/wiki/Delos
There are daily boat excursions from Mykonos except Monday, because the archaeological site is closed that day. Boats leave at 9AM, 10AM and 11AM from the pier at the west side of the harbour, right behind the little church of Agios Nikolaos. The boat trip takes about 30 minutes. Boats return at 12:15PM, 1:30PM and 3PM. Boat trips to Delos are also organized from Platys Gialos and Paranga Beach. The excavations are open from 8:30AM to 3PM, so have an early start if you really want to see it all. The cost is €17 for the boat trip plus €5 for entrance (though free for students and €3 for those over 65). A guided tour, departing at 10AM from the pier in Mykonos, will cost € 40 (including boat trip and entrance fee).
The Cyclades are notoriously windy. As the boats going from Mykonos are relatively small, boat trips can be cancelled due to strong wind.
Only some small cruise ships dock at the commercial Delos port of call.
You will get a good map with different coloured tours. You can walk around by yourself or explore the exhibits with a guide.
You can buy guidebooks at the ticket booth at the entrance of the excavation. Some shops in Mykonos sell the same books for double the price.
Archaeological sites cover almost the entire island, starting from the harbour at the west side. The most important ruins in this district are:
The Museum of Delos has sculptures of the Archaic, Classical, Hellenistic and Roman periods, together with a collection of vases from various periods. Open from 8:30AM to 3PM. The entrance is free (fee included in the entrance ticket of the site).
Since Delos is uninhabited, there are no shops there.
The small tourist centre in the Sanctuary of Apollo has a restaurant and a bar.
Bring plenty of water.
Overnight stay on Delos is forbidden. The only "inhabitants" of the island are security personnel and archaeologists. The closest accomodation options are in Mykonos.
Be aware there is no protection from the sun on the island so take the usual precautions.