Not many people know that Malaga is also a Scuba diving destination as well. They have some decent nature reserves and make some trips down to Tarifa, Spain for some nice wrecks. The diving center I used was down in Torremolinos and was called SimplyDiving.com. They had a very professional and knowledgable staff. I got my Deep Diving Speciality Course there. I've been to way better dive sites, but none this close to home. I live in Germany, so it's just lakes up here.
Insider Tip:Go during the spring to summer, the water was 16 degrees C, when I went. It's much better in summer.