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!