I live near Marbella - its a great place to visit.
There are hundreds of ideas for great things to in Marbella here - http://www.yougodo.com/en/things-to-do-in-Marbella/Search.aspx?l=2514169&d=25
You can filter to find the things you are most interested in horse riding, boat trips, etc.
You can also view a map to see what you can do where - http://www.yougodo.com/en/Spain/Andalucia/Marbella/information/L2514169.aspx
Both the beaches mentioned above at Tarifa and El Plamar (near Conil) are superb. Ronda, Jerez, Cordoba and Mijas are within a few hours drive. Malaga itself is often overlooked but a nice place to visit.
Have a great time.
Paul