On Mykonos you basically have to choose between staying at a beach resort area, or staying in or near Mykonos Town, the main commercial center of the island. There is bus service between Town and most major beaches, but if you want to be close to nightlife you should look for a hotel in Mykonos Town.
There are nice hotels all over the island, so you would have to be specific about what you're looking for and what area you want to stay in, and indicate what your nightly accommodation budget is, in Euros. Mykonos is expensive and August is the most expensive month to travel there, so expect to pay a lot. Also expect Mykonos Town to be packed with people day and night.
Edited: 8:42 am, January 18, 2014