Put a shout out for lucy5 - she lives on costa del sol and has small children so she can give you more specific advice than I can!
Meanwhile, andalucia.com is the best website I know for the area - this page has details of all the smaller towns & villages, mostly inland, to visit - we've had trips to Ronda (which is fab), Mijas (not so keen), Frigiliana, and also the foothills of the Sierra Nevada called the Alpujarras, which is where the book Driving Over Lemons is set; also the El Torcal National Park.
The coastal towns west of Malaga are mostly pure seaside resort but Malaga itself (birthplace of Picasso!) and Marbella are both worth a proper visit, and Puerto Banus just west of Marbella is one of our kids' favourites to visit as it is stuffed with expensive cars and yachts.
The coastal towns east of Malaga are older and more interesting than the ones in the west - Salobrena is nice and so is Nerja.
If your DS is good in the car you could also think about visiting the historic cities, like Granada, Sevilla and Cordoba. Gibraltar is fascinating too (but in a different way!)
There is lots of art and culture too but with teenagers that didn't get a look-in on our trips
I can recommend malagacar.com for car hire - they meet you in the arrivals hall and bus you to their compound about 5 mins away, instead of having to trudge to the car hire hall, wait in a long queue, and then go off and find your own car in a murky multi-storey car park; and the reverse to return it so again, you don't have to make your way into the airport car park, find the right office to drop off the keys and then trudge a long way back to departures. They were really helpful, let us change car halfway through, and they are so cheap too!!!