In reply to rockcat: Theres some half decent rock on the road from Serra de Agua to Porto Moniz
http://static.panoramio.com/photos/original/55986274.jpg The bit to the left of that waterfall (which is about 150 metres from the road) is exceptionally solid and about 50 metres high but that was the best looking bit of rock for climbing i saw on the trip with the exception of some possible bouldering at Porto Moniz. It is a stunning island and you can drive round most of it in a day or so.