i was in athens several times this summer, and i too had trouble with fragrances. other than the sephora you spoke of, and the department store across the street, i had a hard time finding fragrances that were non mainstream. i picked up a bottle of dior homme when it was released in greece earlier in the summer, but other than that, there wasn't much else worth picking up. i found the prices a bit higher in greece than other parts of europe. (surprisingly, the cheapest fragrances i found were in the duty free shop in kusadasi, turkey, where i got a limited edition cdg 2 for 22 euros).
i'm going back to athens again this summer, so if anyone has any info, please pass it along