Their are lots of places to visit in the area.
Marbella has superb beaches, restaurants, shops and entertainment and do take a walk around the old town.
Fuengirola offers great beaches, a water park, shops, restaurants, bars and night clubs. Mijas is a small traditional Andalucian town high in the mountains above Fuengirola.
Ronda is a little further away but its gorge and views around the town are well worth the effort.
Puerto Banus offers an opportunity to mix with the jet set.
Gibraltar, Seville and Granada are all within day trip range.
Malaga is well worth a visit, particularly the old town, cathedral, Moorish defences and the Picasso Museum.