One of the most popular sights that seems to be a real tourist draw for Mykonos are the 5 Windmills that sit on the hill over looking the harbour of Alefkandra and little Venice. The Windmills seemed to be going through a bit of restoration this summer but you can still wander around them and get some beautiful photos throughout the day and seems to be the place to catch the stunning sunsets each evening. A lot of the harbour side bars offer seats with views of the sunset but drinks are at a premium price.
Another spot to catch the sunsets is the 180 degree bar (http://mykonoscastle.eu/), it is situated over looking the town , set out on the sight of the Panigirakis castle. It offers lounge chairs, sofa seating, chill out music and drinks in a picturesque setting with panoramic views of the town and is tailored to show off the breathtaking sunsets. It is a bit of a walk up the hill but there is a car park if you are driving and the enchanting setting is worth the trek and walking is good exercise after a day of lounging by the pool!
I felt that watching the sunset was as stunning here as it was in Santorini but judge for yourself on a visit to both
Sunset