Paul,
Although Spain is not rich in interesting golf courses from an architectural point of view, Costa del Sol makes the whole picture look even worse as the standard over there is quite weak.
As some others have pointed out, El Saler (J.Arana) is a very good track. Maintenance is not up to the standard of the course and could make it even better.
Other places worth mentioning are Pedreņa which is a fantastic Colt design by the sea and Neguri, Javier Arana's home course. A short drive and you can play these two along with a visit to SW France where you have Chiberta, Biarritz and Hossegor.
In Madrid you have Puerta de Hierro (Spain's oldest club, a very good 36-hole mishmash of Colt-Simpson and Kyle Philips) and Club de Campo (27 solid holes by J.Arana and 9 very bad ones by Ballesteros). I haven't played Real de Sevilla by Olazabal, but everybody likes it a lot.
The remaining better stuff is more of the typical new courses you may find elsewhere: Nicklaus courses in Madrid and the east coast south of Valencia, Norman in Barcelona (El Prat), PGA Catalunya (which I haven't played but gets good reviews, although not on this site), etc.
Regards,
Alfonso