My wife and I were in Southern Spain a few years back, but on the East coast, not the West where you'll be. We stayed in Marbella, which is about as far North as where you'll be. One day, I'd definitely recommend driving down to Gibraltar for the day, its a very cool place. Its about a 2 hour drive if I remember correctly. Most people take the Gondola (sp) up to the top, but I'd recommend doing one of the van tours to the top and back down. The ride alone is worth it, I can't even put into words how crazily those people drive up and down those steep narrow roads. Plus its a big rock and they drive you to all the places of interest, it would be too much to walk. Its also pretty interesting to have a few drinks and watch all the ship traffic in the port and straights. It looks like they're all about to run into each other.
Other than that, I can only point you in the direction of stuff to do on the Southern East coast.
I wanted to go deep sea fishing, but every local told me that the best fishing was on the Portugal side if you're into that. I didn't want to make the drive, but you won't be far at all.