Pico Ana Ferreira is one of Porto Santo's best short inland outings. The hill is modest, but the reward is a set of prismatic basalt columns, often compared to organ pipes, formed as volcanic rock cooled and cracked into regular shapes.
Go early or late if the day is hot. The landscape is exposed, dry, and very different from green Madeira, which is exactly why the stop is worthwhile. It helps you see Porto Santo as a volcanic island, not just a beach.