I have been in Naoshima last summer and it was one of my best day during my japan trip. I agree, of course ,with Pickles (triple yes !).
I came by boat from Takamatsu and not so far from this city (10mn by train) there is an open museum in Shikoku Mura with 33 old houses and a wonderful contemporary great work by Ando Tadao (the architect of Naoshima) with a water garden where I stayed 2 hours to hear the song of water. ^^^