One IFR route from LGAV (Athens) to LGMK (Myconos) is:
VARIX DCT MKN
Then, follow the arrival procedures (STAR and VORDME rwy 34). The charts are here:
http://www40.brinkster.com/ifrcharts/ Just type in "LGMK" (without the quotes).
You could go VFR, but you'd need to know the area of course. Still, here are some navaids that will speed you on your way.
From LGAV go straight for the coast (either the eastern or the western, depending if you departed on 03R or 21L) and follow it south. Keep the NDB on the Sounion frequency (319.0). As soon as you have cleared the mountains, proceed direct Sounion (it's the very southern tip of Attica).
From there, tune the Kea VOR (KEA, 115.0) and head direct for the little island. Over Kea turn due East (090) and proceed to the next island, which is Kythnos (no NAVAIDS). Somewhere over Kythnos you should be able to pick up the Syros NDB (417.0). If not, head South-SouthEast and you will pick it up. Over Syros you will pick up the Myconos VOR (MKN 110.0). Proceed to the airport and follow circling procedures. Observe the MSA (especially if you use Active Sky) because there are some *strong* winds usually.
Have fun!