The impressive stone bridge leading to the Ponta do Sol pier is a beautiful sight itself, but if you add crushing waves below and some nice light, it's an amazing sight.
Photo tips: To nicely frame the whole thing, you'll need really ultra-wide lens. I could go down to 10mm (15mm full-frame) and wished I had even wider lens with me. Sunset brings nice side-light, but I can imagine great Sunrise compositions as well.
Getting there: You can easily park nearby right next to the beach (well, it can be pretty crowded in the top season). It's just ~100 meters walk then.