I visited only Vulcano island as also other reviewers did. We traveled by ferry from Milazzo in October 2013 (be aware that train station in Milazzo is far away from the town and ferry port, and that there is infrequent or no bus connection between train station and the port during weekend and one has to take a cab), climbed the crater (very strong experience to see sulphur crystals + wonerful view over other islands of the archipelago), visited thermal baths nearby the port (I could smell suplphur on my skin even one week after), spent pleasent time on beaches (there are mineral spring directly underwater on the beach close to the port and thermal baths - Spiagga delle Acque Calde, while the beach just on the opposite side had black sand, which made water warmer - Spiagga delle Sabbie Nere), and - what was the most appealing - stayed overnighted directly in the nature in sleeping bags in the northernmost part of the island enjoying beautiful views to Lipari island.

Photo - view from the northernmost part of Vulcano towards the crater.

The Vulcano island was very tranquil (it was off the season in October) and literarlly warm. My dream is to visit also other island of the archipelago.