I've been to Sabinillas many times, also Duquesa and Estepona (and Gaucin, Casares, and over to Tarifa, Zaraha de los Atunes, Barbate etc), but I don't think any of them are cities and my post was at risk of listing all the places in Spain anyway :-)
Plus there's all the other places not mentioned that can be tagged onto a city break for a change of scene, like El Caminito del Rey in the mountains outside Malaga.
Our next holiday in a few weeks time is to Lanjaron, a spa town in the mountains between Malaga and Granada where we will be doing some walks, visiting a couple of local towns by bus, will probably have a day trip to Granada and just relax, read and swim in the pool.
As well as the trains being very cheap and easy (I think you have to book ahead for the AVE to get the best price, but the commuter trains are ludicrously good and cheap for those of us used to the UK railways), Alsa, the Spanish equivalent of National Express is also good and cheap (we went from Granada to Seville, a 3 hour journey, on a modern air conditioned coach, with free water and snacks, for about £12 each).
People who've written off Spain as a holiday destination because 'Benidorm, Magaluf , Playa de la Americas' need to read this thread to see that there's so much more to it than that.