OBVIOUSLY... TORREMOLINOS
You will find Torremolinos at a 2 hour drive by either bus or car from Tarifa, more or less on the runway of Malaga Airport.
This is the Sidges of the south. On Fridays and Saturdays... the gay capital of the region.
A bit of a sleezy tourist town in the best 1970's tradition, but with over 20 gay bars and clubs and all located in basically the same 2, 3 streets.
Ask for La Nogalera, which is the name of that part of the town, or walk to the station of the underground train. Now you are at 100 meters from this getto like and a tad crazy gay walhalla.
Drag queens, funny shows, dark rooms, trendy dancing, and very much un-trendy dancing too.
And if it bores you... Malaga is just half an hour away with the small coastal train.
The beach of Cabopino is right between Marbella and Fuengirola and is a terribly relaxed place, especially in summer.
In Málaga, head for the Plaza de la Merced, which is a nice square with some gay friendly bars, such as La Calle de Bruselas. But with a Torremolinos in the neighborhoud, few people find the enthusiasm to open any gay bar in any other town... the LGBT crowd heads for Torremolinos anyway.
Marbella and Puerto Banus
Trendy and lavish in the 1950's. Now the party is over for Marbella. Nice for a stroll but nothing else.
OK, Puerto Banus is Marbella too, but this time at its most Marbella, up to a point that it almost becomes art.
Welcome to the Highly Stylish Resort for the Highly Unstylish!
Nowadays old aristocracy or modern fashion designers would rather die than to be seen here, but... a must! Yachts that make your eyes pop out, shop for your ensemble of Versace until 2 AM in the morning, or try to spot C-movie stars acting like you have heard from them.
The highest number of facelifts per square meter this side of the Atlantic. Not to be missed!
Transportation
If you can not rent a car, take the bus from Tarifa to Algeciras, and from Algeciras to Marbella.
In Algeciras you will find the bus station at a 10 minute walk from the Ferry Port. The bus to Marbella bus station takes one hour.
In Marbella you can take the bus to Fuengirola. And from Fuengirola you can go anywhere with the coastal train that runs every 40 minutes between Fuengirola-Benalmadena-Torremolinos-Airport-Malaga.
As long as you remain on this part of the costa del sol, you never need any other transport than just this train.