A very pretty, small town about 30 minutes by car from Malaga is Alora. It is very Spanish with some Brits living mostly on the outskirts. There are numerous bars and, if you're looking for somewhere to stay, I've seen several holiday lets there on owners direct and holiday lettings. There are beautiful views from the town which is positioned on higher ground than its surrounds...and there's a good supermarket!
Antequera is a much larger town, further inland (about and hour's drive) but it, too, is very Spanish and you'll find everything you need there. It has some beautiful old buildings and, with industrial Companies on the outskirts, it is well-served with bars, shops and restaurants.