Picture this: two volcanoes. One explodes and spews soft rock. The second explodes and covers that soft rock with hard rock. Over time water eats away at both rocks, but the hard protects the soft below it. People arrive, want to hide from various empires and dig themselves into the soft rock. That is a short history of Cappadocia.
Arriving in Cappadocia before 6am we were practically still dreaming when we walked off the bus and saw a sky filled with hot air balloons floating over buildings built into cave walls and mountainsides. 
Taking advantage of the cool air of the morning, we set out for a hike through one of the nearby canyons and found ourselves alone surrounded by cave homes. Near each dwelling, up high in the rock were curious holes, home to pigeons, all decorated to help the pigeons find their way back. Strange rock forms abounded, and we had the entire place to ourselves. Arriving back in town as the heat set in, we checked into our hotel room, or err cave. For the same price as a couple of dorm beds back in Istanbul, we booked a private cave room. Feeling like the Flintstones we slept like “rocks.”
Our tour of Cappadocia continued like this for two days, visiting strange rock formations and staring at the incredible power of wind and water. We visited tremendous underground cities. Yes, I used the word city, each one once held several thousand people. 
The Goreme Open Air Museum was a collection of cave dwellings and monasteries carved into the cave walls with byzantine frescoes adorning the walls and ceilings. Strange towers rose from the ground where the hard rock on top protected the soft rock below from centuries of water, and souvenir shops were never in short supply.
We did manage to do more than just some site-seeing. We rented mountain bikes for the first time since we biked Kruger NP in South Africa. Against the suggestion of our rental agency, we took those bikes through one of the narrowest canyons in the Cappadocia area, without a decent map or a compass. Don’t worry, it doesn’t end badly.
In fact, we pulled, hoisted and hiked those bikes along a precarious trail. At one point we had to use ropes to pull ourselves and those rental bikes up and over giant rocks. The few times we were able to ride, we took those bikes through caves and under gorgeous arches. Pulling our bikes up a rather steep hill at the end, we caught an Italian tour group off guard. Staring at us in disbelieve, the souvenir shop owner offered us water and juice (for a price of course) and tried to sell us her hand made lace. Opting instead to celebrate with baklava and yummy pides, we coasted downhill back to Goreme, arriving two minutes before the bikes had to be returned.
IF YOU GO: We were lucky enough to be traveling with a pair of Aussies from our Blue Cruise and shared a car rental for about $60 for a very nice 24 hours. This probably worked out in our favor but not by much. 
The tour prices are reasonable if you want to see everything but Cappadocia is a perfect place to just go for a walk through the surrounding canyons (if you base yourself in Goreme) and take an occasional bus trip to a nearby city to see an underground city. We stayed in the Nomad Cave Hotel and had a very nice time there in our own cave room with breakfast, dormitories were also available. We took a direct overnight bus from Olympos to arrive in Goreme but there are connections to Goreme from all major cities such as Istanbul and points further east. You might have to connect through one of the nearby larger cities such as Kayseri, however, which is also home to the main airport.
Wow! I had “missed” this one- sounds incredible!