If you like art, 3 nights in Milan actually might not be enough. Besides Leonardo's Last Supper fresco, there's a great collection at the Brera, and a smaller, less impressive one at the Ambrosiana (but lots of Leonardo stuff there). Also the historic church of Sant'Ambrogio, and various other sights (small museums, etc.). Milan gets a bad rap, I think.
I'd second the idea of a bus tour to Naples from Rome. Naples is rather . . . shall we say, chaotic? Doesn't hurt to have a guide.