Malaga has many lovely beach towns and resorts that are very popular with visitors from all over Europe. Some popular places to consider are:
La Carihuela is a nice fishing village with some old parts and some new ones. I suggest that you stay around the original village. So did Grace Kelly, Ava Gardner, Orson Welles and Frank Sinatra. La Carihuela town is just 15 minutes away from Malaga airport. It has quiet daytimes to relax and people-watch, while the evenings offer nice bars and cafes to buzz up your stay. La Carihuela is between Torremolinos and Benalmadena, but is so different and laid back in comparison. Make sure to try the local pescaito fried fish.
Estepona is also called the Garden of Costa del Sol and its streets are full of flowering pots, murals, and sculptures. But my favorite part of Estepona is El Cristo cove with warm and shallow water, on the long beach attached to the town. El Cristo gets more sun - and amazing sunsets - than other beaches because it faces west. Estepona town is a mid-range budget friendly place, with a nice fishing port, and a yacht-filled marina with bars and cafes. Kids can enjoy the Selwo safari park and for adults, there are a few golf courses too.
Salobrena has a hilltop Moorish castle Castillo Arabe, a white town, a nice beach, year-round concerts, and an interesting archaeological museum - no wonder it is one of my favourite towns on the Malaga coast (even though technically it is in Granada province). There is diving to do in the waters around Salobrena but if you ask me the really unique thing about this place are the many walking routes of the area - you can pick up detailed routes from the local tourist office.