There is the Sabinillas market on a Sunday morning - take the road north at Lidls roundabout and it's about 1km or so up on the left, at the Feria ground. There is also a smaller version of the market on a Friday morning at the end of the Sabinillas paseo (eastern end). There is the market at Estepona on a Wednesday morning, at the stadium - just off the A7 turning after the poligono. There is also the La Linea market on a Wednesday morning, near the Gibraltar border (you can't miss it if you head to Gibraltar on the coast road).
I'm afraid I don't have details of any more, but there are some! 