Can highly recommend Daltons Cloud Nine in Los boliches, it is down by the river bed not far from the feria ground. They are a live music venue and well worth a visit, Dalton himself specialises in 50's/60's but the second act is always something different.
The best thing to do is just take a wander and stop off in the little back allies if you want a little bit of Spanishness, try the tapas and enjoy your stay.
If you go down to the harbour in Benalmadena there is a host of different types of boats going out on sea trips, depending on how long your likely to be out they can be around 15 - 30e.
If you get the chance get yourself on some of the trips in land to the likes of Ronda, Granada etc. Enjoy your stay what ever you do.