You're by no means alone in this. There are a number of us who were not given bank guarantees and are taking legal action as a result.
I asked my new solicitor to issue a cancellation notice in December 2008, which she did. I am though still waiting for a court hearing. As you can see there are long delays in the court system in this part of Spain. Therefore I have not had any success yet. There is also the possibility of suing the bank for not providing the bank guarantee, which would be the next stage.
I don't know of anyone who has been successful yet but there are several of us trying with the same solicitor.
You might also want to look at the petition below, which can also be seen on the bank guarantee section on this site.
http://www.bankguaranteesinspain.com/