Be aware this island is quite remote, and the ferry harbor is not exactly storm-proof. A good southwesterly gale can make the harbor totally unaccessible. Even the helicopter has been known to be canceled due to bad weather. Because of this, always leave a slack day or two in your trip itinerary, just in case. Don't worry -- the islanders won't let you sleep in the rain -- but it's probably wise not to schedule an international flight or boat the same day as your departure from Mykines.
If you decide to take the walk to Mykinesholmur, to the lighthouse, make sure you have enough clothes with you, it can get windy. Also take some food and drinks, because it will take about 3 hours before you get back into town and you can get food and drinks!!