If you have a hire car, it's definitely worth a drive out to Ajuy.
There are a few restaurants where you can enjoy some locally caught fish or just grab a drink.
The beach is good but not really suitable for swimming due to the strong currents.
If you walk to the right hand side of the beach as face the sea, you will find a walkway up to the cliffs. There are some amazing views from the top and some unusual geological features.
Following the walkway along the cliffs, there are some old lime kilns and then stairs down to the caves. The stairs are quite narrow and you may need to give way to people heading in the opposite direction but the caves are well worth the effort.
There is by the beach but it's usually busy, there is a car park as you enter the village on the left which is free, you can walk down to the beach quite easily.