I absolutely disagree with Rick Steves that Malaga is a city to drive by. He treats Malaga like it's only a transportation hub, but Malaga has so much more to offer. We spent 2 nights there and wish we had a 3rd night.
This is what we did and saw while in Malaga:
Visited the Cathedral
The vibrant city center is beautiful with gorgeous architecture, nice stores and lots of cafes and restaurants.
Atarazanas Market
Picasso Museum - there are tons of art museums but we visited only the Picasso
Visited the Alcazaba and Castillo de Gibralfaro - the walk to the top of the Alcazaba is stunning, with towers, pathways, gateways, Roman columns, arches, patios with fountains and lush greenery and exotic flowers, and the small Nasrid Palace. And beautiful views of the port and the Mediterranean.
The Promenade by the port - a great place for drinks and to watch the sunset.
And a ferris wheel
We didn't stay on the beach. Instead, we stayed in the Barrio Soho at Soho Malaga. It's a small boutique hotel located very close to the pedestrianized calle Marques de Larios.