I have lived on one of these islands and visited four. My island in the sun was Fuerteventura. Read about the island here: Fuerteventura in my heart
One very popular Music Cafe is Pieros Cafe. Here you find entertainment for the whole family!
The largest island is Tenerife. Up in the north city Santa Cruz is one of the most fantastic shopping area I have ever seen. Everything you want and more. Many shops are personal and specialized on their thing. Strong Recommendation to see!
Another island is La Gomera. It is called the green island. If you compare with Fuerteventura, the difference is really big. La Gomera has preserved a special language for centuries. It is a whistle between the mountains and valleys. I have posted some videos here so you can listen: La Gomera and Silbo gomero