Benal Madena, 2 places to be
1) 24 Hour Sq, on the main road next to McD's. Full of tourists, 2-4-1 and mucky women, oh and wannabee gangsters. Don't get there too early else you'll get bored v. quickly.
2) the harbour, full of Spigs and a bit pricey but look out for the bar with the outdoor poll dancers, oh and the strip club is up there.
There's a Wanderers Bar, unfortunately it's a Wolves one. Knocking shop is on the road to Fuengerola. Torromolinos is about 20 minutes walk and is worth a visit as it's more of a town.