I was in Malaga in April 2007. The most important thing I can tell you is that the port is huge and our ship was in the final berth... a cool 2km from the front gate. RCL offered a paid transfer but we walked to the gate, maybe that was our mistake. We definitely took a cab to get back.
I would suggest getting a cab to go to Castillo de Gibralfaro and then if you are a real walker, walk down. But if you aren't, grab a cab or just as easily take a bus back to the Alcazaba, which is right next to the main part of town. There are wonderful views of the city from the castle all around. The Alacabaza is a walk uphill. Wonderful architecture if you can do it. And there is a nice cathedral/church in town. The Plaza del Toro is also visible from the castle.
Malaga is the capital of Andalucia. Andalucia is the province where Tapas originated, so it's a great place for some authentic tapas. If you have the courage, they are known for their sea urchin tapas. Try the Mercado del Carmen an authentic local market and look for Rincón de Pepe if you can. I've been told that it's one of the best places and very authentic (and off the tourist beaten path).
Here is a link to some of my pictures from that trip... http://picasaweb.google.ca/JustEphra...07AprilMalaga#