We have stayed several times at the Hotel Dona Luisa on Sabinillas sea front. It is not as plush as the Duquesa Suites, but waking up with that view over the sea makes up for a lot. The owners are also very friendly.
On my last flying visit before completion, I spent a night in the Hotel Don Agustin which is almost next door to the Dona Luisa. The hotel is brand new and the staff are nice, but it is not very Spanish in atmosphere, more designer chic, and does not have the stunning views.
Another option is the Hostal Ocana in Manilva. We have not stayed there, but it looks really traditional Spanish on its website and is very cheap.
Jon