I most strongly second the recommendation about the Lascaris War Rooms.
Refurbished and continually being extended into previously closed off tunnels, the enthusiastic staff work hard to make this important part of Maltese and British history come alive. The War Rooms beneath Upper Barracca Gardens which overlook Valletta's Grand Harbour are full of atmosphere and are a must for anyone who has an interest in wartime history.
I would also strongly recommend the Malta Aviation Museum at the former RAF fighter base at Ta 'Qali,