We have just come back from 2 weeks in Torrmolinos/Marbella - not quite sure where Nerja fits in but from our limited experience (first hol in Spain):
The beaches just east of Torremolinos are lovely and quiet (at the moment) and there are fishy restaurants every few yards. We were pointed to an exit off a roundabout off a highway near Torremolinos that just said "playa" but I can't tell you which highway! (Next to a shopping centre that included McD's and Burger King though.)
if you go to Gib, park your car in La Linea as near as poss to Gib airport and then get a nice double decker (some are open-topped) across the airport into the centre (don't try to take your car in, the queues are appalling). The cable-cars up to the top of the Rock are better value than the "Tours" (but they stop them running if winds are strong).
Avoid the "highway of death" (N340?) wherever poss and use the toll road instead. (Tolls from Marbella to Gib about 6 euros each way.) (Marbella to Malaga just over 5.)
The zoo at Fuengirola is small but lovely, every hour they do a tour of the lemur enclosure and you get a few inches away from them. Magic. Also we read that there is a huge local market at Fuengirola every Tuesday but we managed to miss that.
Mijas, up in the mountains behind Benalmadena, is a beautiful town and has fantastic views over the sea. (Also those nice carriages pulled by horses, and donkey convoys.)
Agree with megg about road signs. We spent many happy hours going up and down the N340 around Malaga trying to catch the exit we wanted which was only signed just after you had taken it. Also there is sometimes an exit to, eg, a building site just before the one you want.
Marbella is gorgeous. (We had a week there.) Sand is a bit murky though.
There is a huge water park outside Torremolinos but it doesn't open until late May.
Never made Granada - our boys too old to appreciate we thought (10 and 14) - but in the Sierra Nevada there is SNOW!