Most people go to the Costa del Sol with just one thing in mind - the beach. But if you get bored of that (or if the wife is still working on the tan when you turned red days ago), you'll need a diversion. The Costa del Sol is poorly served by public transport, so if you're going to explore and you don't have access to a car, these guided tours are your best bet.
Pick-up points are from various hotels on the coast. Click on the link to find out exactly where.
If you need to get to Madrid after your time on the Costa, try: Two-Day Costa del Sol to Madrid via Granada & Toledo.
See also visit Morocco from Costa del Sol.
The historic town of Ronda, built over El Tajo gorge, is one of the highlights of Andalusia and is within easy reach of the Costa del Sol. It is difficult to get to by public transport (and its a pretty scary drive if you go it alone) so an organized tour is ideal. The tour takes ten hours and includes some free time in the town.
A full day out in Seville, the capital of the region of Andalusia. Take a guided tour of the city, including entrance to the famous cathedral. As packed a day as you could have, this tour leaves very early in the morning, guaranteeing you your money's worth. Seville deserves more than a day's visit, but if you're pressed for time this tour is ideal.
For many, the Moorish fortress of the Alhambra is the highlight of Spain, let alone Andalusia. This tour picks you up in the morning and gives you a full guided tour of the palace and gardens of the Alhambra before giving you a little free time to explore by yourself.
Gibraltar is a bit of an oddity: a British enclave in Spain that feels like Britain would have done 40 years ago (albeit with better weather). It is also the home to the only wild monkeys in Europe. Gibraltar is not my favorite place in Spain, but it is an intriguing diversion if you have a day to spare.
For a tour with a slightly different emphasis, try this Gibraltar Shopping Tour.
Visit Cordoba, home to one of the most impressive mosques in Europe, on this day trip from the Costa del Sol. Out of Seville, Granada and Cordoba, Cordoba is definitely a distant third in 'essential cities to visit in Spain', but if you've seen the other two, give this trip a try.
See two beautiful Spanish villages at a great price, also squeezing in the Nerja caves if you're interested. Exceptionally good value and highly recommended.