Here's something you should know that I wish I had known before going to Sifnos... there are tons of cats roaming the island, and their dander infiltrates just about everything.
I realized before my trip that there are many stray cats in the Cyclades, but I didn't anticipate finding cat hair on the hotel bedding of the two pensions I stayed at (or at the higher-end hotel Platis Yialos that I inspected).
This was a major problem because I am allergic to cat hair and it overpowered my allergy medicine. If you are allergic to cats, I would avoid Sifnos!
I'm also told that there are many cats on Folegandros, but I wasn't there so I can't say for sure. I saw cats on Milos, Santorini, and Naxos, although Sifnos has far, far worse, although I did exhibit some symptoms in Naxos. Something to consider if you are allergic....
For all others, I'd definitely recommend Sifnos. My wife and I did a challenging, beautiful climb up Prof. Elias. It was beautiful, as were other hikes. The towns are also charming, Apollonia and Artemonas, particularly. Also, the Sifnos cuisine was the best we experienced in Greece. Lamb mastello is delicious.