In Adamas on the port before souvernirs shops and cafè start you can find this little grocery.
What to buy: It sells sweeties anf fresh fruit and vegetables, the best in the island: tomatoes, cucumbers, watermellon, onions, peppers, peaches.... and prices are very good. In order to prepare a real greek salad at home come here to buy your ingredients!!
Arriving in Adams turn right at the little bridge an you'll find the supermarket Atlantik.
What to buy: Every kind of food and drink except vegetables and fruits which are simply rotten!!! As reguard everything for your breakfast (butter, yogurt with honey, jam, bread juices, american cookies), your main meals (meat is good, cheese too, there's no fresh fish but we suggest you not to buy it frozen for we had a terrible experience!!!!!!!), even wine, ouzo and Metaxa. For fruit and vegetables look at the other tip.
What to pay: Prices are very good, with 5 euros we bought breakfast for almost a week!!!
In shopping for local handcrafts, there aren't very many such retail establishments, but most shops are located in Adamas and Plaka. In Triovasalos, few retail shops cater to tourists.
I would point out "Kalimera", "Marianna" and "Kellina" in Adamas and the "Milino", "Archondoula's" and "Anna's Shop" in Plaka as my favorites. Since most major villages are so close to one another, you could visit all such shops in one day.
Andreas' Advice: Purchase only what you can carry with you. Shopkeepers are generally eager to accommodate you but they are usually naive about the logistics (and cost) of shipping. You will find that to have them ship anything overseas is prohibitively expensive and impractical.
What to buy: Local arts and crafts. T-shirts, Polos and bumper stickers with the "Milos is for Lovers" logo. I've seen a lot of American visitors opt for the legendary, "retsina" copper decanters.
What to pay: Prices in Milos are decent, relatively speaking. Do not expect to find bargains, however, especially with the $US at an all-time low against the Euro.
Paying by credit card is slowly becoming acceptable in Milos, but the shopkeepers usually frown upon accepting plastic as it costs them up to 7% of the transaction. Offering cash and specifically requesting "no receipt" may be a bit risky on your part, but encourages the shopkeeper to offer you a small discount, if you know what I mean. ;)
In some shops there will be a seemingly interminable delay to process a credit card as the clerk fumbles with paper, stubborn cash registers and seeking help. :)