For something different to do, especially if you're travelling with kids, you may wish to visit the Selwo Safari Park.
It's just off the highway N-340, between Marbella and Estepona, less than an hour's drive west of Malaga. If you're taking the local bus, it will take about 1 hour and 50 minutes to get there.
The park is divided up into 5 areas, over more than 100 hectares of property. Animals from the 5 continents are featured.
The park is open daily, during these periods:
Oct 16 - Apr 14 = 1000 - 1730 hrs.
Apr 15 - Jun 16 = 1000 - 1830 hrs.
Jun 17 - Sep 17 = 1000 - 2000 hrs.
Sep 18 - Oct 15 = 1000 - 1830 hrs
Be warned, although there are buses to get you from some places to others, there is a good deal of walking that is unavoidable. So, bring a good pair of walking shoes.
As well, one of the rules of the park is that no food or drink are allowed in. However, you may wish to carry a bottle of water with you, since walking around in the heat can be quite draining.
Don't forget your camera too.
Don't bother. Many animals have small enclosures that have turned to mud. The elephants are particularly tragic - their swimming pool is left empty and they mope around on concrete. The rhinos are even worse, with a smaller enclosure and even more concrete. It's not cheap either - children only count as children if they are between 3 and 7 years old. I ended up paying 130 euros for 2 adults, a 17 yr old, a 13yr old, a 9 yr old and a 6yr old. The food is expensive and is just burgers and pizzas.
Theme adventure park, where you can have a few routes: the one of the savannah, the birds canyon, the route of the vaalleys, teh central viallage or the gateway to anture....
it is great..........