If you'd rather be out in the fresh air, lace up your hiking boots and head to Sierra de las Nieves national park. The park, which lies in the mountainous hinterland about 18 kilometers north of the seaside resort town of Marbella, offers hiking and biking in over 200 square kilometers of slopes and virgin pine forest. The park is also famous for its many vertical caves, a few of which plunge to depths of over 1000 meters. Due to its higher altitude, the park does sometimes experience snowfall during the winter months, so check the weather before heading out and come prepared for the cold.
When it comes to watersports in the Costa del Sol, windsurfing is king. Spain's southern coast is a veritable windsurfing Mecca; on any given day, dozens of sails dot the horizons at the Costa's major beaches as groups of surfers skim and spin their way across the water. Equipment rental shops line most beaches, and most resorts have windsurfing clubs where beginners can pick up the basics in the relatively calm waters. More experienced surfers in search of a challenge can make the hour-and-a-half trek southwest to Tarifa, where aficionados from around the globe gather to try their skills on the strong winds and currents from the Strait of Gibraltar.