If I have visitors to Marbella, one of the first places I take them is Ronda. The town straddles the 120 meter deep gaping gorge of the River Tajo. It's an impressive sight and really not to be missed if you are in the area. Ronda also has some very interesting architecture; palaces, convents and the bridges that themselves span the gorge.
You can drive to Ronda by turning off the N-340 motorway near San Pedro de Alcantara (signposted Ronda). Taking the road through the scenic Sierra de Ronda mountains, a trip worth doing in itself just for the scenic drive.
Buses are available regularly from Marbella bus station.
Trains are available from Algeciras, Granada and Malaga and stations on route. Timetables can be found at this site...