Recently returned from Mykonos (end of the season) we had some great weather however if you are looking for cheap holidays -snip- Mykonos probably isn't the place for you!
There are some really cool places to go though, great beaches and if you can find some fab places to eat like Platis Gialos which is a lovely little bay with some amazing restaurants or you could try Ag. Ioannis boasts Hippie Fish where you can grab a rather alcoholic cocktail (quite pricey though) to watch the sunset. Things aren't all expensive though we looked around and found this little gem of a place called "Kikis" in Aghios Sostis which has a great beach, and the food here was unbeatable and very reasonably priced.
Panormos beach is a long stretch of sand however it can be a bit littered, as it was when we were there.
Up at the North of the island is Fokos beach - it is a bit of a treck to get there down dirt roads (you need a car) but there is a lovely little taverna with a fantastic view.
Kalafatis has some awesome water sports, however they only do wind surfing if it is windy.
Also, take a trip to Delos if you get time - the ferry costs 1 Euros (and an extra 5 when you arrive) but it is well worth the trip to see some ancient Greek ruins.
All in all Mykonos is a lovely place, but very pricey. If we went again, I would go at the end of the season as it is slightly cheaper and you still get the weather.
All the best.
[ Edit: Sorry, no promos please. ]