First visit to Spain - Planning a 12-day trip to Madrid and Andalucia from 5/25 through 6/5 - How does this itinerary look?

arrive Madrid 5/25 and stay 1 night until 5/26
take AVE to Sevilla and stay 3 nights until 5/29 with day trips to Cordoba and Jaen (should I consider other day trips?)
take a car to Ronda and stay one night until 5/30
take the car to Nerja and stay 1 night until 5/31
take the car to Granada and stay 1 night until 6/1
take the car back to Sevilla and stay 1 night until 6/2
take the AVE back to Madrid and stay 3 nights until 6/5 with day trip to Toledo

How does that sound?

Should I try to include Marbella/Malaga in the itinerary? If yes, when? Any other places along the way I should not miss?

Please suggest nice places to stay in Madrid, Sevilla, Ronda, Nerja and Granada.

Looking forward to hearing from you people. Saludos.

Sounds like a great trip! Here are my suggestions:
go directly to Sevilla on the AVE train (you'll be jet-lagged, so no sense seeing Madrid for one day only), and settle in to Sevilla for 3-4 nights. Try the Hotel Simon--we loved it. Then rent the car to tour the white villages. Pass through and see Arcos de la Frontera and continue on to Grazalema--it's adorable. Stay at Casa de las Peidras tel/fax (956) 132014 and definitely eat there--they have some of the best food in Spain. Then continue on to some of your other destinations. You might want more than one night for Granada. Another white village which is wonderful is Cazorla, in Jaen province.
You might think about renting the car in Sevilla and returning it in Madrid. It won't cost you any more, and it would free you up to see places like Cuenca (truly amazing), the windmills of La Mancha fame, and lots of other interesting, non-touristy places. In Toledo, try the Almazara, a manor house with fabulous views of the city. If you do a search on this board for any of these places, and many others, you'll get lots of information. I wonder if you could fit the Costa de la Luz (on the Atlantic between Cadiz and Tarifa) in to this trip. Might be a perfect time of year to see that. Whatever you decide, you will love it--you'll wish you could see/do more, and stay longer but you'll enjoy it all. Have a wonderful time.

Jaen is in eastern Andalucia. It seems like it would make more sense to visit Jaen from Granada, as opposed to a daytrip from Sevilla. It's only about an hour from Granada.

Are you planning Jaen as daytrip from Sevilla because you're going to take the train there?

It appears you will spend a lot of time traveling rather than visiting! I would suggest spending a couple of nights in Jaen, there are not many tourists, a reason I loved staying there. From Jaen, you could take day trips to Cordoba and Granada. If you include Marbella in your plans, you could take day trips to Ronda and Nerja. We spent three days in Seville and fours days in Madrid alone, and we wished we had more time to spend there. We covered the same territory in seventeen days. Do not spend perilous time packing and unpacking your suitcase when you could visiting beautiful country.

I don't know what kind of budget you're on, but if you can swing it, I recommend the Hotel Goyesca in Ronda. The place is beautiful, but the best part is getting the personal tour of Ronda with the hotel owner, Jose Maria.

It'd been about a year since my trip to Spain and I miss it already! You'll love it!!!