In reply to calvomatteo:
The scenery is just fantastic and unlike anything else in mainland Europe.
The levada and high mountain walks are just great (and a bit scrambling in places - some really big drops on some). Mountains often covered in clouds mind. Forget climbing, its 99% choss!
The driving is also pretty mad on the non-motorway roads - never had to thrash a hire car so much in first gear before!
Search on amazon for guides - but mainly aimed at crinklies.
Recommend trips to the north coast - more isolated and less touristy.