First stop: El Peñon del Cuervo. You don't need to go far to find marvellous places.
Just 15 minutes away from Malaga, El Peñon del Cuervo is a protected biological enclave where you can find the previva malagueña(limonium malacitanium) a rare plant under risk of extintion. Sometimes concerts or parties are celebrated at this beach(the Town Hall permission is needed) It also has got a barbecue enabled area. The sunset is lovely there. There are 2 minutes distance from the nearest rest area.