Favorite thing: Climb up to ´Citadel´ in Gozo´s capital Rabat (Victoria) and soon you´ll see the wonderful cathedral. It was built between 1697 and 1711 and is designed by Lorenzo Gafa.
Go into the beautiful churches!
TIP: Like every Arabian people, You should NOT WEAR HATS / CAPS in the churches, BUT LONG trousers or shirts with minimum an T (no strings, tangas etc.) !!!