1. Malaga Day Trip: Morocco
It is possible to undertake this day trip under your own steam, but a guided tour would make it a lot easier.
2. Malaga Day Trip: Granada
3. Malaga Day Trip: RondaRonda is a little off the beaten path, making a guided tour an especially good option here. Ronda is most famous for its Tajo gorge, but it is also the birthplace of bullfighting and has some interesting museums. It also has a good winemaking tradition.
4. Malaga Day Trip: SevilleSeville is the most popular city in the south of Spain. Really, it deserves more than a day trip from Malaga, especially as it is relatively far. If attempting to do it in a day, a guided tour is your best bet.
5. Malaga Day Trip: Whale Watching from GibraltarVisit Gibraltar, the last colony in Europe (it belongs to the United Kingdom) and home to some famous monkeys. There is an optional whale watching, but this costs extra.
6. Malaga Day Trip: JerezJerez is most famous for being the birthplace of sherry. It is also well known for its horse shows. If you can stay the night, Jerez is also good for flamenco.
7. Malaga Day Trip: NerjaNerja is a popular beach town, but it is its caves that set it apart from the other beach towns close to Malaga.
See Malaga to Nerja by public transport
8. Malaga Day Trip: CordobaCordoba is the third most popular city to visit in Spain, after Seville and Granada, and definitely a distant third at that, but its beach town-esque old town and one of the world's most important historical mosques makes it an important stop for visitors to Andalusia.
Due to its distance, this trip is best conducted on a guided tour (if doing as a day trip). But my advice would be to make a stop on the way to Madrid from Seville or Granada.