Spain has a rich wine heritage, vines were most likely first planted by the sea-faring Phoenicians in very ancient times, wine-making was refined and industrialized by the Romans, and praises of the Spanish wines were even sung by the later (abstaining) Moorish invaders. To sample some local wines in Malaga, I recommend stopping in at the Bodega Antigua Casa de Guardia. Founded in (1840)! this venerable institution is simply a large barrel-filled tasting room full of sweet dessert wines and brandys, including the famous local Andalusian Moscatel. Sample wines for just a little over one Euro a glass, poured straight from the barrel. The bartender keeps your tab written down in chalk on the marble bar. Only nine euros for a take-away liter that they will bottle right in front of you at the bar.
This venue is right on the main drag of the city, near all buses and trains, so it is very convenient to get to. They also offer some very simple tapas; try the sardines for some real local flavor. Right up the block, there is a gigantic city market with fresh fish, meats, and various local delicacies if you feel like doing some shopping or browsing of the gorgeous local produce before or after your visit.
Bodega Antigua Casa de Guardia, Alameda Principal 18, 29005 Malaga, Spain (Centro)