La Linea is off the beaten path when it comes to discovering the rest of the Costa Del Sol. Most simply pass through it on their way to Gibraltar. The old mayor of the town had a little cry about that and started to try and introduce a toll road, but got badly owned by everyone at that little scheme. Personally rather than introduce a toll, he could have cleaned up his town so that people actually considered to visit it alongside Gibraltar.
Mountain biking: Head out of the east side of the town through Atunara (DONT STOP you wil get ur wheels nicked here) and to Santa Margarita. Turning right just after the Venta Melchor urb, will take you to a large undeveloped area. developed a road, just nothing more. This the leads to some awesome hills and dunes for mountain bikes along side the coast that will take you to Alcadesa. Google actually has it as a road, but there is no way a car would get through it. Here also is a very quiet beach area.
Right in the province of Cadiz you can find a Natural Park, called "Parque Natural Sierra de Grazalema" located next to Ronda.
Beautiful park where you can enjoy fresh air or try to do many activities with some agencies located there, one of these is:
c/ Corrales Terceros, 29
11610 Grazalema (Cádiz)
You can do many activities among :
4 X 4 Routes
Canyoning (Amazing if you like the style)