We flew there once from Detroit and were on AirFrance. We had a non-stop to Paris, and then a flight on from there to Malaga. There was a special promotion running at the time that gave us double Northwest FF miles for flying on AirFrance. I know.....goofy.
I asked the same question on here at that time, and was scared off of Iberia, though they have some super sales sometimes. Travelling with a family group, I didn't want to take the chance of having things completely messed up by Iberia, but it might be different for you.
There is also the option of flying into England and then catching a cheap flight out on a Low Cost Carrier from there, but often you have to switch from one airport to another (is it Heathrow to Gatwick?) and sometimes involves a very long layover in London to match the flights up. Again, if it is just two of you it might not be such a big deal as if you are dragging kids along!