Málaga is just an hour's drive from Marbella and it is one of the oldest cities in the world so there is much to see and lots to do while you are there. The Alcazaba is definitely worth a visit - the Moorish fortification once protected the city from pirates- while overlooking it, the Gibralfaro Castle has magnificent views of the city. Other attractions include the Picasso Museum. In the harbour you can see all the cruise ships as they dock while there are some great restaurants and bars.
Also make sure you take a stroll down Calle Larios, the main high street in Malaga, a great alternative to the large shopping centres.