I have not been to Thassos but I have made many wonderful trips to Lesvos. It's a large island -- Greek's third largest -- with so much to see and do, depending on your time constraints and your interests. I don't believe there's an amphitheater with concerts -- but there is a Roman Aquaduct and a prehistoric archeological site at Thermi.
I'm attaching a link to a Matt Barrett website which outlines a 10-day itinerary for a sampling of the island. I've been to almost all of the places he mentions and some that he didn't. If you don't have 10 days, you could pick a few of your favorite sites. Lesvos has good roads and it is very easy to drive there.
My favorite place in Lesvos is one that he did not mention. It's a hotel maybe 20 minutes north of Mytilene, called Votsala. The friendly owners Iannis and Daphne organize special excursions (we went to Pergamon in Turkey once), cooking classes, archeological walks. Your room includes a huge breakfast by the sea, free use of beach toys, a private pebble beach. Tavernas for lunch and dinner are a short walk away, at the port. We've visited a half-dozen times -- we usually fly into Mytilene and taxi to Votsala. Then, when we're ready to explore the island, we have a car delivered to us there -- and then we return it at the airport when we leave. So easy. Highly recommend.