We used the ship's transfer service, but we had a guided tour of Mykonos on the way by our tour guide. This was a nice, secluded beach, with chair rental service. A little pricey, but still quite enjoyable, and we didn't have to try to find a nice, secluded beach on our own. After the bus returned us to Mykonos town, we wandered around, ate lunch at a wonderful restaurant, and did some sightseeing and shopping before returning to the ship.
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Norwegian Cruise Line