The first time we went, we went with a group of international students & Málaga locals through an intercambio program. We all went together to the Río Chillar, and hiked through it all day (about three hours each way). The trip totally demolished my shoes but these kinds of hiking trips are always such a cool time.
It was super pretty there - surrounded by mountains and full of trees, and the river got deeper and more difficult to manage the further we went.
Our ultimate destination was a waterfall and a pool to swim in - so worth the hike! It was so secluded and peaceful, but at the same time it was kind of incredible how many other people were there too.
A couple days later Mary and I went back to Nerja, this time to see the large cave that's there (Nerja seems to be really well known for its natural features, such as that cave, the river, and its beach). The cave was awesome and a lot bigger than we expected. There was a huge pillar in the center of the final room, which is supposedly the biggest known rock column formation in a cave in the world.