In the four Olympic Games in which he represented his city he went undefeated in the sport of wrestling. He proudly displayed his four wreaths as he walked the streets and was a hero to his fellow townspeople.
He was most likely a historical person, as he is mentioned by many classical authors, among them Pausanias, Cicero and the author of the Suidas, but there are many legendary stories surrounding him. Legend has it that he would train in the off years by carrying a newborn calf on his back every day until the Olympics took place. By the time the events were to take place, he was carrying a four year old cow on his back.
Milon seemed to think he he was Heracles, and like Heracles he wore a lion-skin cloak and carried a club. Another legend says that he offered to cut down a large tree for a woodsman, who was grateful for the help and promised to return with food later in the day. However, the woodsman never returned, and while Milon was working the tree collapsed on his hand, trapping him. The legend says that Milon was then eaten by wolves.
A sculpture by the French artist Pierre Puget (1620-1694) can be seen here: http://www.tigtail.org/TVM/X1/f.Baroque/c.french/puget/puget.html