Hey Joe... Where you goin', with that..... sorry, but you started me singing like Jimi Hendrix - well, nothing like him actually but anyway, I was going to say that El Boqueron is the man for this question. I've stayed at a few hotels in the city, such as the Zenit and one near the cathedral whose name escapes me, but wasn't too impressive.
The best value was the Hotel Bahia. I've cut and pasted a few bits about it here "Málaga, C/, Somera, 8. 44 habitaciones, habitaciones acondicionadas para minusvalidos,
tel.: 952 22 43 05 - fax: 952 22 92 68, Email: hbahia@activanet.es "
It is pretty central, across the street from the historic centre and not too far from the railway station, from where you can catch a train at 05.45 to get to the airport at 05.57. If you miss that one through partying too late you can get the next one as they come every half hour. Enjoy your stay.
Ah, just remembered the hotel which I wouldn't recommend and it's called Carlos V.