Head to San Domino for walks, grottoes and coves. It has a pristine, marvellous coastline and the islands' only sandy beach, Cala delle Arene. Alongside the beach is the small cove Grotta dell'Arene, with calm clear waters for swimming. You can also take a boat trip (around €15 from the port) around the island to explore the grottoes: the largest, Grotta del Bue Marino, is 70m long. A tour of all three islands costs around €20.
Diving in the translucent sea is another option with Tremiti Diving Center. There's an undemanding, but enchanting, walking track around the island, starting at the far end of the village.