What to see in Heraklia
Heracleia has a few caves and churches of interest, but you'll have to walk to all of them.
The best known cave is the cave of St John (Ag Ioannis). Legend has it that he stayed here for a while, and that the altar in the cave is the very same he would pray at. It takes about two hours to walk here.
Chora, is the capital, and the locals call it the Virgin Mary: Panagia. Here, time stands still, and you migt just as well have stepped into the 19th century if it weren't for the mini markets.