As sasid before, Malaga lives to the sea. And the lighthouse to light boats and ships during the night is just in the middle of the city, close to the port.
Sorry: a bit dark. It was the sunset when I took the pic ...
Other cities all over Spain which are built close to the sea do not live "to the sea". I mean, ports are out of the city and their sorroundings are poor: normal people do not go there. Some cities such as Valencia and Barcelona are making an effort to approach the city to the sea.
But Malaga is not like that. The city lives in the beach and the port is in the middle of the city. Good experience!
Parking in Malaga City centre is problematic. Spaces are scarce even in Winter, and it isn't very clear which areas are permitted for parking and at what times. If you are going to park in the city centre try to use one of the underground car parks.
Unique Suggestions: If possible use another means of transport. Public transpost is good and makes for a bit of an adventure. Study up on travel words in your Spanish Dictionary as many bus drivers and train staff do not speak English at all.
Fun Alternatives: If you need to park your car in a secure location for more than a couple of hours you can use a company called Easy Parking based at Malaga Airport. They have a courtesy bus service which will take you to the airport and pick you up again included in the price.
Like in many larger cities you will find people who want to give tourists a special ride around the town. In Málaga you can sit yourself down in a carriage and let the horses guide you through the streets. I don´t know the prices anymore, but I do know that it was very expensive. I didn´t try it because of this... maybe it would have been worth it, but I chose to use my feet.
Puerto Banus. A nice looking place but a bit 'Egg and Chips' in places. It has a Linekers Bar - enough said.
Torremolinos is the most crowded beach in Costa del Sol, where too many tourist in a very small area.
You should stay except this area.