The following comments are based on our experiences. There are two main options.
Whichever you choose, you really should book in advance. Arriving at the airport without a reservation will be expensive.
In all cases, check for "hidden extras" such as insurance / collision damage waiver, extra charge for additional drivers, extra charge for out-of-hours arrival, charges for child seats, and more recently - a mileage charge (normally above 90 kms per day.
Most of the companies have a desk on the right immediately after the doors from passport control; a few (such as Niza) meet you outside the main exit from the baggage hall, and take you to their off-site car park – normally less than 5 minutes drive, and regular pickups.
Use a "broker" such as Car-jet, Auto-europe or Holiday Autos.
The advantage here is that you will normally be paying in sterling, you have an english language contract, and "all" insurance is included. When you collect the car, you will be offered extra insurance to cover tyres, windows, and underbody damage. It is up to you whether you take this - personally I do not, and have never lost out so far. I buy annual hire insurance from icarhireinsurance.com
There is one disadvantage: almost certainly you will have to pay for a full tank, and will get no refund for any fuel left in the tank ("full to empty").
Go direct to one of the car hire companies.
There is a large number to choose from at Malaga airport. As you might expect, Avis tends to be more expensive. Local companies that we have used without problem that you may not have heard of before include Crown-Auriga, and Niza cars.
They will normally give you a full tank of fuel, and you return it full. They will still try to persuade you to take extra insurance.
Always carry your driving licence with you when driving.
www.carjet.co.uk www.holidayautos.co.uk www.rentalcars.com
www.nizacars.es www.aurigacrown.com