It's often interesting to delve into differing beliefs. A visit to Saint Nicholas Church is an excellent way to learn about one of the local religions.
A visit to this house of prayer won't cost a thing, which is just what you want if you're after free things to do. You'll find Saint Nicholas Church in Santorini. There are plenty more places to visit not far away, including Red Beach, Museum of Prehistoric Thira and Archaeological Museum of Thera.