Gibraltar remains a British territory to this day since the rock and town was taken back in the 18th century. Tensions also remain after Franco sealed the border back in '69 - nothing too serious, but the residents are fiercely British. The border was reopened in 1985, and while it's not a simple border crossing, it's definitely worth the trip. Well, different from Spain, that is. The crowded season is July to September, just as the rest of Spain.
Late spring boasts fewer tourists and more local flavor in nearby towns.
Plus, it's not too hot. The rock's strategic wartime importance cannot be understated. From the earliest downward firing cannons, to the WWII bomb shelter, hospital and planning center in St. Michaels cave, the rock commands our respect. The Cave of St. Michael, and the Great Siege Tunnels on the rock. Gibraltar IS shopping in Southern Spain.