The main villages are Porto (where the ferry arrives), Rocca Ciauli (directly above from Porto), Valdichiesa (at 300m and where the road ends), Pecorini alto (has the post office) and Pecorini mare (the beach hamlet on the other side of Porto). There is an ATM in Porto, which occasionally runs out of money, and also a gas station there (which occasionaly runs out of fuel).
Main language is obviously Italian, but you will also hear a lot of the local dialect Filicudaro. Due to the large number of Filicudi emigrants to the new world, English is also widely understood, especially the Australian variety. Do not be surprised if you hear a "gidday mate" on occasion.
Two Aliscafi from Milazzo daily on Libery Lines (7am, 1:20pm) year round. More in summer. (EUR 26, 2.5 hrs). Look into their 15% FS discount if arriving by train to Milazzo. One ship leaves in the morning, it's the only option if want to bring a car (EUR 17 passenger, EUR 90 car, 5 hrs) In summer more options abound, such as a weekly ship direct from Naples and an Aliscafo from Palermo.
Walking from Porto to Pecorini Mare is about 45 minutes (15 minutes to Rocca Ciauli, 30 to Pecorini Alto) on the old donkey trail (Mulattiera), which is gorgeous but exposed, and hot in the middle of the day in summer. Be aware that the steps from Porto are steep if you are carrying luggage. There is a shuttle service for 5 euros per person (with bags) that meets the Aliscafi in tourist season. Uber is not yet available on the island.
Take a boat trip around the island, to Grotta del Bue Marino and La Canna. This is almost obligatory on your first visit.
Hiking: Epic hikes await. Capo Graziano (from Porto village) is easy, about 15 minutes up a path and brings you up to an ancient prehistoric village. Fossa Felci path to the top of the mountain leads from Valdichiesa, and takes about 3-4 hours round trip. Heading the 'back' of the island from Valdichiesa takes you to Zucco Grande, an abandoned village about an hour's easy hike from VdC. It continues to the other side of the island in Siccagni, that would be a full day trip and parts of the trail are in disrepair.
However: (1) Do not attempt the trail to Siccagni (or on the return as a loop) on the Pecorini side. This crosses the Sciara del Fuoco (lava slide), and people have died attempting this. If you must, seek out a local guide. (2) There is NO WATER on any of these trails and it gets hot in summer. Bring at least 3 liters pp in the summer for Fossa Felci or Siccagni, and leave early if you can (leaving at 5:30 am for Fossa Felci in August gets you a view of the sun rising over Stromboli and beats much of the heat).
Trailheads: Fossa Felci: 38°34'14.6"N 14°34'11.7"E Zucco Grande: 38°34'12.6"N 14°34'29.5"E
Walking: The marked trails around the island are very pleasant walks, and generally give overwhelming vistas and a nice taste into island life.
Kayaking: Kayaks are available to rent on both the Porto and Pecorini side, and a wonderful way of seeing the island in good weather (count on 4-5 hours for a circumnavigation).
Swimming: The season is generally June-September, hardy souls may extend that from April-October. Note that the 'beaches' are rocky, not sandy. Pecorini and Porto have beaches that generally get crowded, others such as Le Punte are more rewarding but require a bit more effort. The best coves of course are accessible only by boat. Jellyfish ('meduse') can occasionally be an issue.
Food can be quite expensive on the island due to everything being shipped in, it may be worth bringing some supplies in if you are on a tight budget. There are grocery stores in Porto, and in Pecorini only in the summer. A van comes in selling fresh veggies twice a week, one day near the church at Pecorini and another near Villa La Rosa in Rocca Ciauli. In summer you can sometimes get fresh fish on the pier in Pecorini.
Restaurants tend to be overpriced compared to the mainland, Villa La Rosa has serviceable pizzas starting from EUR 8. La Canna is the best of the restaurant options, but requires reservations. Da Nino Sul Mare overlooks the beach on the Porto side and prices are reasonable for Filicudi. La Sirena is in a wonderful location at Pecorini Mare, seafood pasta from EUR 15.
If you look hard enough and you ask around, you may even find a Vegemite sandwich.
Legendary bar 'Saloon' is open near the Pecorini pier in summer is the coolest place on the island to get a reasonably priced beer (from EUR 2) or Malvasia (EUR 2.5). The bar is modeled on a 19th century wild west saloon, popularized in the spaghetti western films. Malvasia is the local drink, made in Salina. It tastes sweet but packs a mighty punch (~18% alcohol). Drink two or three on a hot summer afternoon and you'll know what legless means.
Be aware there are only rudimentary medical services on the island (Guardia Medica is at Rocca di Ciauli behind Villa La Rosa). Anything more serious requires transportation via helicopter or hydrofoil to Lipari or the mainland. Think twice before doing anything stupid and/or get medical evacuation insurance.