This was our first time in Malaga and we had a great time. The apartment is in the perfect location for sightseeing and enjoying what the city has to offer. Bars and restaurants literally on the doorstep in the plaza, or only a few minutes walk - el Pimpi is particularly good. Enough museums and galleries to occupy all your time - the Malaga Museum is amazing! A short walk to the lively marina and beach through the beautiful old town. The Cathedral is worth spending some time in - the artwork, architecture and associated history are impressive, as are the various churches hidden around what seems like every corner!
We visited in October and, although the town is still bustling and the temperature a pleasant mid-20° at that time, you should be aware that the surrounding water parks close for the winter in late Sep/early Oct.
The apartment had everything we needed but noise from the street below does continue into the early hours so if you're a light sleeper I'd recommend ear plugs - it's the price you pay being centre of the action!