Salsa at Benalmadena 

In Benalmadena theres a "salsoteca" (salsa disco) called Discoteca Kiu downstairs they play dance music and upstairs they got the salsa on.

http://www.discotecakiu.com/

Salsa at Malaga

Also in Malaga in Plaza Mayor theres a cool club called "Picaro de la Habana" wich i highly recommend were evrybody dances salsa is by the end entrance is actually near the Malaga airport been theres a few times and its really cool...

Another place in Malaga is "Malaga Salsoteca" evry Saturday they have free Bachata lessons http://www.malagasalsa.com/

Salsa at Marbella

I also haird that they have live salsa music at "La Cabane" in Los Monteros wich is outside Marbella... I pass u the link:

http://www.monteros.com/en/cabane/

If you know any others apart from these let me know...