I spent two excellent weeks on Pico. Princess Alice for Mobulas, lots of blue sharks and an ( unusual) hammerhead (if you have no issues with chumming),huge wrasses, eagle rays, interesting caves/grottoes, black coral etc. and several different kinds of cetaceans close up. Topside, the highlands and the volcano itself are worth a trip in themselves, plus a surprisingly interesting whaling museums. Great food (surf and turf) and serious local wines, too. And Faial is minutes away across the straits and has a truly interesting port if you are into sailing boats. Be prepared for long trips on small boats in significant swell and consider diving dry if you are a wimp like me - water temp in late June/early July was 18-20 C on the open sea and down to 14 C after the second thermocline, which in high current hanging on a line fo an hour is doable but chilly for me in a 5 mil. If you have them, bring freediving fins for dolphin snorkeling. I‘d go back anytime.
Best, C.