This is quite an open ended question as it depends on what interests you.
However, when I was there I visited the Alcazaba (but didn't bother with the Castillo de Gibralfaro). The Picasso museums/sights are interesting but are a bit small and Malaga (Picasso's hometown) seem to advertise it as his birthplace to no end even though he hated it. There's a few other attractions but holidaymakers, for the most part, go there for the beach. about 9 years ago