Because of the wonderful climate in Andalusia it makes this area almost year round suitable for various sporting activities. For example, you can horseback riding, hiking, diving or even skiing in the Sierra Nevada near Granada. Or what about playing golf (http://www.bavieragolf.com)?
There are also various offices that organize all kinds of activities. Life Adventure (http://www.lifeadventure.eu) organizes jeep-tours and hiking trips among other things. Do you like water sports? You will also have lots of fun in Nerja. For example, from the Burriana beach you can canoe to the waterfall of Maro, which can be seen only from the sea!