Are you renting a car? Mijas is a really beautiful city, and is only about 20 minutes from Malaga. Marbella, Calahonda and Fuengirola are all really cool towns, albeit very full of Brits.
I'd absolutely recommend Ronda. I loved it there. It's a bit of a haul to get up there, an hour or so from Malaga but it's a really pretty drive (if anyone in your party has a hard time with winding roads, Gravol is a must). I'd recommend driving up and staying the night.
Gibraltar isn't far, but if you go you'll need your passport because it's technically a British territory.
If you're feeling really adventurous, you can take a ferry over to Tangier and pop onto the African continent for a day. It's a port town and has a bunch of Moroccan shops and cafes.
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