If you are there for 3 Kings on January, there will be processions in the streets near churches in various towns and villages.
If you have a car rental, it's easy to do a road trip to the various villages. Look at Ronda, Arcos de La Frontera and Zahara. Beautiful white painted villages dotted in the hills, some with buildings on precipices. Also known as Ruta de Los Pueblos Blancos
Granada and Sevilla shouldn't be missed, and a friend just two das ago was telling me how much she loved Tarifa. Never been, but she and her husband lollygagged there for a few days. about 9 years ago