The caves at Didyma, so called in Greek, aren't caves at all! They're dolines, or big depressions in the ground with very interesting features. The small doline or 'small cave' can be reached from the Didyma bypass road where there's a small parking area. There is a steep stairway dug into the ground that will take you into the doline. There are two Byzantine churches in the vicinity, one of which was actually a cave. The 'big cave' is 500 meters up the road accessible by foot more than by car. Follow the sheep and goat footpaths around the boulders until you see the doline. It has a diameter of around 150 meters, reaching 80 meters deep. Both dolines are quite impressive.
In Kilada the Frachti cave was the site of important paleontological findings and is worth visiting.