We own at Marbella, although Playa is actually my favorite, and have taken the fast train from Madrid, as well as flown using BA Avios to and from Madrid. We really enjoyed the train, (lots of beautiful olive groves and small villages, though not truly spectacular scenery) and last time had a ticket that included a special train station lounge in Madrid with snacks and drinks, as well as a full lunch including wine on the train. With BA avios, we flew on a small airline I had never heard of, but all went smoothly. We have also, on other trips, used Easy Jet, Lisbon to Paris, and Paris to Rome, Ryan Air Malaga to Rome, and Malaga to Hahn, Germany, and had no problems whatsoever with any of them. However, maybe we have just been lucky.
We always try to go a couple of days early to stay at the Marriott Malaga Palacio, usually using a couple of free night Bonvoy certificates. Great rooftop pool bar overlooking the harbor, always have been upgraded to a larger suite with sea view and balcony, but being an AC, the wonderful buffet is not complementary, though it is well worth the extra expense. It is also a great location for wandering Malaga. One time we stayed up the hill at the Parador de Malaga near the Gibralfaro castle ruins. Fabulous views, and lovely terrace dining, or for coffee and cake after visiting the castle ruins. We hiked the Caminito del Rey in 2016 just after it opened following the big renovation, and the if you have time, Ronda and many of the "white villages" are truly spectacular and charming. Ronda, and Arcos de la Frontera are two of our favorites. Spain is wonderful! Bon voyage!