Isla del Sol ("Island of the Sun") is the largest island on Lake Titicaca, and part of Bolivian territory. An ancient holy site of the Inca, it's easily reachable from Copacabana.
The only conventional way to get to Isla del Sol is by boat. Numerous tour companies operate full and half-day excursions from Copacabana. You can make reservations at the agencies, or just go down to the waterfront around 8:00 or 1:00. It's also possible to catch boats from Yampupata at the northern tip of the peninsula.
If you don't like to book a tour with a company, you can find a one-way boat to Challapampa (25 Bs, ~2 hours) at the waterfront. You may spend a night in Challapampa, walk to Yumani the next morning and return from there to Copacabana by another boat. EDIT feb 2013 - One way boat to Yumani costs 20Bs. If you go on a tour where they drop you off in Challapampa and pick you in Yumani (few hours later) the cost is 35Bs. It is recommended to walk from Challapampa to Yumani (3h).
Recommend leaving your large backpack with a hostel in Copacabana as getting up the inca steps in Yumani is hard work at altitude.