golfinspain.com has some information.
I've played a few courses in southern Spain. Sotogrande- Old, Valderrama's sister course is very worthwhile playing. Valderrama was closed for extended repairs when I was there several years ago, but a number of acquaintances familiar with the course, without exception, extolled its virtues.
If you like RTJ, Las Brisas and Los Naranjos are interesting. Golf Rio Real just west of Marbella is an old style Javier Arana (Spain's own prominent architect) course with some good holes (though a little too tight for safety).
The old course in Malaga, a Simpson design I think, was not much when I played it many years ago. Neither was the course in La Coruna (with a wavy mark over the n) in the Galician region of spain (NE). It is my understanding that Seve's home course in Pedrena is also rather quirky, and charming primarily because of its history (I have not played it, but saw an exhibition that Seve had there, and I was not impressed).
While in Madrid, you may wish to see if Rees Jones has a course coming out of the ground. I understand that it was in the planning stages last Fall. Golf in Spain is still primarily for tourists and the aristrocacy. Not many of the common folk play the game, specially in the big cities.
I have heard from a number of sources that El Saler is among the best in Spain and the continent.