The rock closest to the original coastline has quite a history. It is claimed that the original discoverers of Madeira took refuge on it in 1419 before stepping on the main island. It has since been owned by a British person and is currently owned by a person from Madeira who has proclaimed it to be The Independent Principality of Pontinha.
More info in this link http://www.fortesaojose.org/
The second rock has a very unusual chic restuarante on top. We spent several hours there to celebrate Mike's birthday