Take a run up Mesa Vouno Mountain to visit Ancient Thera.
From the edge of town head out on the road following signs to Thera. The road switches back and forth numerous times but it makes the grade up to the summit of the mesa much more manageable. The road ends at a small cul-de-sac and here, you can take a trail up to the top of the mesa where Ancient Thera has been partially excavated.
Spend some time wandering the wonderful ancient city, exploring old buildings and ancient text. On the way back down take the somewhat less traveled trail. It's a little steeper near the bottom so watch for loose rock, but it's a nice alternative to the road.