When I was in Greece, last year, I loved a club called Cavo Paradiso on Mykonos.
I bought a couple of CDs that they produce each year (from 2004 & 2005).
Right now, I'm listening to Cavo Paradiso 05 - The Sound Of Mykonos.
Here's a clip of what the club looks like...it overlooks the Mediterranean & it opens at about 2am & shuts around 8am.