Now another section of the N-340 motorway has been completed, driving to Gibraltar only takes about 45 minutes. It's an interesting experience to visit this little piece of England in the Meditteranean. A sightseeing tour of the rock is interesting, on clear days good views of Africa across the straights, not to mention the tax free shopping.
A little warning... it may be hot and sunny on the Costa del Sol, but it is not always so in Gibraltar, take a warm pullover just in case. Also occassionally there can be delays for vehicles on the border crossing, so allow a little time.
The cheapest way to get there is by bus, the Malaga - La Linea bus passes through most of the Costa resorts. Disembark at La Linea and walk across the border, it takes about 20 minutes into Gibraltar town.