Malaga is a very interesting city. The city centre is nice -- the cathedral, Gibralfaro castle, and the Alcazaba. But I liked a lot the typical Pedregalejo neighbourhood, with its small and colourful houses and all its bars on the beach.
I really liked the open air railway station! What I did not like was that I could not find a place to sleep in October.
I didn't like Malaga so much -- it doesn't make much of its situation on the ocean. So many buildings, almost the entire city centre, are neglected and in terrible need of repair. The nightlife is brilliant, though, as is the relaxed atmosphere at tapa time. Make sure to visit Ronda at least for one day -- it is stunning.
I lived in Malaga for six months and I would tell everyone that it is the best city in Spain! I would suggest to get there by bus or train. If you want to party and have a good time try visiting Plaza De La Merced. It is right in the center of town, but don't go until around 11:30 or midnight, most clubs don't open until then.
Beware of the ladies at the entrance to the Cathedral! They'll hand you a rosemary sprig and then grab your hand, start telling you that you're beautiful and smart and will have lots of luck and children, and then demand 5 Euros! They are very bossy and pushy - keep your hands in your pockets or even behind your back!
Malaga is a fairly large city on the southern coast of Spain. It has some historical features worth visiting, but it is more famous for its wine and for being the capital of a very popular stretch of coast.
When you stay at a hostel in Malaga, you'll definitely want to visit the beaches. While the beaches in Malaga itself are good, they are not as famous as the ones situated a dozen miles south. They can be, as in many large cities, polluted on some portions, but they are still crowded during the hot summer months. If you don't have your own means of transportation, the Malaga beaches are a good place to cool off during the hot hours of the day. You can also join an impromptu sports game in the early hours of the evening, which is a very good way to meet some locals and start an endless evening.
You should ask the staff of your Malaga hostel for advice on which the pubs and clubs are the best to visit during your stay, otherwise you might end up in an endless quest, since many derelict clubs are scattered throughout the city.
As in most cities in Spain, there is a large selection of hostels in Malaga. Pick one based on your core interest: close to the beach, or in one of the historical barrios to experience the true atmosphere of a Spanish provincial capital. There are many institutes offering Spanish lessons as well. If you are planning to register with one, do your research in advance, and reserve your hostel in Malaga as early as possible since other students will want to sleep near the training grounds as well.