The footpath running along the caldera rim from Oia south to Fira is one of the best walks in the Aegean. The full route is about 10 km and takes four to five hours at a comfortable pace, passing through the villages of Finikia, Imerovigli, and Firostefani along the way. The views across the caldera to Nea Kameni and the open sea are extraordinary throughout, with the cliff dropping several hundred metres to the water on one side and the terraced village houses on the other.
Imerovigli, about halfway along, has the best vantage point on the island — the Skaros rock juts out over the caldera from here, and you can walk out on it for views back to Oia and ahead to Fira. The path is well-marked but sometimes narrow and uneven; sturdy footwear is worth the effort.
Go early in the morning to avoid the worst heat and to have stretches of the path to yourself. Starting from Oia and walking south to Fira means you end at the capital, with transport options back and a cold beer as reward.