The Canary Islands will be warmer than Spain however it depends on what you want to do. There is some sightseeing to do but nowhere near as much as Southern Spain.
Different strokes. Both areas are worthwhile, and we have been to and recommend both. What Costa Del Sol doesn't have as much as Canary Islands IMO, aside from winter warmth, is spectacular scenery. Lanzarote and Tenerife both have National Parks, as well as varied microclimates that you can reach quickly, as do many islands.
Our very first timeshare trip ever was 3 successive weeks in Spain. (Great choice of country for first-time.) We started in Costa del Sol at Macdonald's Villacana in Estepona, and did most of the sightseeing others have mentioned, including a daytrip to Morocco. It was May and unseasonably cool - highs in the 50's. I liked it very very much.
2nd week was a Cala Pi Club on Mallorca, gold crown at the time. Some sightseeing but added some beautiful scenery. I loved it.
3rd week was an RCI bonus week at an unrated resort on Lanzarote. Iberia was having some sort of "See Spain" special so we could fly anywhere inc Spain's islands, and we went for it. Plenty of sight-seeing for a week though not the famous sights, and incredible scenery - and I felt like I was truly on the other end of the world. I fell head-over-heels in love with it, as I had years earlier with Hawaii, and as I did with Tenerife (northern not southern!) on a subsequent trip.
So yes, it depends on what you like to do. My ideal trips alternate sight-seeing days with enough time out-of-the-car hiking/walking days in stunning scenery. YMMV.