Though accommodation in Mykonos can be expensive and luxurious, there are less expensive options available too as well as two campsites, the nicer one above Paranga Beach. Both become very crowded (like everything else in Mykonos) in peak season.
Restaurants are also higher priced, though there are good bakeries, supermarkets and fruit markets. The Alefkandra area and around is the best place to get a complete meal, and there's even a little place with authentic Greek food at reasonable prices (barreled wine too). Needless to say, there's plenty of nightlife in this town during the summer months (and some in the spring and fall as well.
The beaches to the north of Hora , which get the big crowds, (and plenty of accommodation to serve them) are Tagou, Tourlos and Aghios Stefanos, the last of them, 4 km from Hora, an improvement over the first two.
A less crowded and quieter beach is Fanari (to the north of the others). Beaches to the south of Hora are Megali Ammos, Korfos (ruined by the town dump loud machinery nearby) and Ornos, all of them pretty built up.
The other north coast beaches get too much wind to interest anyone other than windsurfers, one of them, Ftelia, with fine sand, would otherwise be a candidate for the best beach on the island if not directly in line of the full force of the meltemi.
There are a couple, however, that are sheltered from the wind, and though you need your own vehicle to get to them, they are far less crowded than the southern beaches. One of these is Panormos, a cove with 100 meters of fine sand with low dunes behind them, and two tavernas; the one on the hill above the beach bakes its own bread. To get there one should take the road from town towards Ano Mera and head left after 1.5 km/.9miles, which puts one on the road towards Ayios Sostis and Panormos. The village of Aghios Sostis has a very fine small beach below it, though the only parking is in the village. There's a taverna on the beach, open daytime only, as it has no electricity. Both of these places offer good alternatives to the more touristic beaches on Mykonos. Ayios Ioannis on the west side of a sizeable peninsula on this part of the west coast, has a nice bay with a very small, pebble beach, the site of Greek scenes in the movie, 'Shirley Valentine'. There's a good taverna here.