We (my wife and I) recently went on a cruise around Spain and the western Mediterranean. Our boat had a stop in Malaga. We´ve been there before, it´s a lovely city. For example Picasso Museum is definitely worth visiting, the Alcazaba (which is basically a mini-Alhambra), the centre for shopping, the cathedral, etc.
Though we had seen all this before, and we wanted something different for a change. So we decided to rent a car. It was an excellent day really, because the company waited for us at the port and we could almost immediately get in the car and drive off.
We visited Fuengirola, Marbella and Mijas. There was so much more, but we never had the time to see it all.
Afterwards we returned the car at the port and the company would pick it up again.
We highly recommend renting a car for a day; you will have to arrange it a bit beforehand though.
The company had excellent price ranges, choice of vehicles and service.
We highly recommend them whenever you are in the neighborhood of Malaga/Andalucia.