Personally would prefer Malaga because it has a nicer feeling about it, but we understand that everyone is different and in Marbella the nightlife is closer to the beach and you would maybe get a better atmosphere. There are more historical sites to see in Malaga, but due to the heat you would do this offseason or early in the morning. Some areas of Marbella can feel a bit tacky and too English for our liking.
In Malaga, there are many museums, good restaurants and for good beaches, you go to the east to Pedregalejo, El Palo or Rincón de la Victoria. Marbella has good beaches and little else Hence, my vote to Malaga.