The Bodrum Windmills stand on the ridge between Bodrum and Gumbet, a line of weathered stone towers that have become one of the peninsula's easiest viewpoints. The mills themselves are battered, but their silhouette against the bays is the point.
Go near sunset if you can, when Bodrum, Gumbet, and the Aegean islands sort themselves into layers. The walk up is exposed and can be hot, and the site is not heavily interpreted, so treat it as a viewpoint with history attached rather than a museum.