I have been to Naples a couple times. Never had a chance to visit the islands though. Think the last time was Christmas 1999 time frame. Was not overly impressed with anything near the port. Was able to get further away and experience a little more and enjoyed it. Never experienced any local rituals like you were able to though and I was there during Christmas the last time. Not sure why, but always enjoyed Italy the European countries surrounding the Med. Could have spent more time there if they would have let me.
RE: Chilling out in Procida, Italy