I cannot go to Vulcano island without try the experience to dive in the pool of warm mud. You can roll yourself in it (be aware of your eyes) ed emerge from there withened like a ghost or body painted like a prehistorical aborigen.
After have been encrusted you have to wash away the mud on you in the some mud pool (do not waste it).
Then you can go to take a bath in the sea BUT be careful were you put your feet. The ground is hot, also in the water! Better to wear some beach sandal. And in the sea look for the bubbles coming up from the sea bottom near the coast. There are some nice place near the rocks that will make you feel like to be in a luxurios spa.
You have to pay actually 1,50 euro to get access, and save some coins for the showers. Directions: It is close to Porto di Levante, the harbour where you arrive with the ferry.