Next to the main road towards Pollonia and just before you get there you will find one of the most important archaeological sites in Greece, the ancient settlement of Phylakopi.
This settlement was destroyed and rebuilt at least three times. It flourished thanks to the processing and trade in obsidian, a hard black volcanic rock that manufactured knives, arrows and tools. The excavations yielded traces of inhabitation from around 3.000 BC (early Bronze Age) to 1.250 BC (late Bronze Age). After 1.200 BC things in the Aegean sea were constantly changing; New trade routes opened as the Minoan and Mycenaean civilization slowly begun to decline. Phylakopi was severely affected by this. This is how the decline started and the once commercial centre of Milos was moved to the ancient city of Klima.
Visitors have the opportunity to see a great part of the cyclopean wall of the settlement which is preserved, as well as the Temple and the Palace (of Mycenaean style). During your visit to the Archaeological Museum, you can see samples of pottery from the city of Phylakopi such as stone, clay and bronze figurines, a linear A tablet, various useful items as well as the famous "Lady of Phylakopi", a ceramic female figurine.
http://www.milos-tours.gr/en/what-to-see-do/archaeological-sites/proistoriki-poli-filakopis.php