Hi lamar! Marbella's got a couple of places, but Eddie's right in what he says.
If you have transport (I think bus trips are available too, even if you haven't) I would recommend Tivoli World, about 25 minutes from Marbella.
http://www.tivoli-atracciones.com/ing/index.html There is a taste of flamenco here, although the purists would scoff at it I suppose. I think it's a nice show and the park is really good value and perfect for youngsters. Well worth a visit!
There are always shows put on in hotels and resorts by groups who might do two or three shows a night in the high season in different places, maybe more, I don't know. We saw one in the development next to where I live the other day. We go there occasionally for a drink and a chat with friends who work there and I have to say it was very impressive. Tourists love it and the dancers work very hard. As I say, if you aren't looking for unadulterated flamenco in its purest form, then you will enjoy a show such as the one I've described.