If you are travelling from abroad, you can always fly with TAP Air Portugal .

There are regular flights heading the Azores Islands either from Lisbon and Oporto. You can chose to travel with TAP or
SATA - Azorean Airlines.

You can also chose the flightplan that suits you better.
You may arrive Pico Island, flying to Horta City ( Faial Island ), and then taking the ferry that takes you to Pico.
After that you may virtually reach just about any place you want by bus, or by renting a car.

The two ferry companies operating in Azores are:
Açorline and Transmaçor.