Kyklos is the Greek word for cycle. Because the islands are set up in a circle around Delos the islands are named Cyclades. During summer (which is high season too) it is extremely dry and hot. The best time to visit the Cyclades is May to June (early season, accommodation is much cheaper and it's not that hot), July to September (high season) and September to October (post season). In October the weather changes and rain starts to fall. Be prepared that ferry schedules are reduced especially in post season. The Cyclades are also famous for the constant wind (called meltemi) in July and August that mitigates the heat a bit.
Regular (mostly daily) flights from Athens to Paros, Naxos and Santorini are operated by Olympic Airways and Aegean Airlines. Paros, Santorini and Naxos can also be reached by other European airports or by helicopter.
Leave from Piraeus via ferry and head for Paros, which is usually the first ferry stop. From Paros onto Naxos and there you can choose from the two main routes; Either up towards Mykonos or down towards Santorini and Crete. Ferrys operate to all the islands in the Cyclades, some of the larger islands also have a Highspeed catamaran service from Piraeus. Check with the operator before making departure plans as the services are subject to delays and cancellations in adverse weather.
Visit Greek Travel Pages and search through all ferry schedules to the Greek Islands, Italy and Turkey.
"Deck class" is a cheapest way to go around the Cyclades, you can sleep outside, on the deck, in Greece the weather is good, especially in summer or spring.
All the young european "routard" choose the deck, so in August it's possible that you must sleep near somebody never seen... who isn't really clean; during the night you can be sad, but after it will becomes funny thinking about.
Hellenic Seaways Express Apollon
Really old-fleet boats. Consider flying instead, even if it costs 1.5 times more -- it's worth it.
Distinguished Class: first ~5 cabins are really shaky (and hard-to-sleep in); too intensive conditioner in saloon. Take your tickets if you go to DC-saloon, other-class passengers are not allowed there.
Hellenic Seaways Highspeed
Bright red Vodaphone-logo boats; most popular and recommended sea transport, at least for going to Santorini.
Travel by ferry. They are safe, regular, cheap and fun. The biggest ferry hub within the Cyclades is in Paros which has links to many islands.
Be prepared that travelling by ferry can be tedious in high season when ferries are really crowded. Usually there are two types of ferries: The ordinary ones and the speedboats (hydrofoils, which are much more expensive).
Also, ferries may be cancelled due to sea and weather conditions so don't leave on the last ferry before your flight, especially if it is windy. Seas are calmer at night, so the late evening adn early morning ferries are the most likely to operate.
Tickets for ferries can be usually bought from travel agencies which are located around the local port.
See Greece#Eat for more information on Greek cuisine.
If visiting in winter season, try Ρακόμελο (pronounced rakomelo). The local people drink this hot drink to warm them up on a cold day. Ingredients are raki, honey and hot water. Recommended that you only drink one or at most two. Drink three and you will be ready for bed!
The Cyclades are very safe. Travelers should exercise usual precautions.
Head on down to Crete when you are done with the Cyclades. If you have plenty of time you might want to go to other Greek islands belonging to the Dodecanes, the Ionic islands or the Sporades as well.