For those that say the Costa del Sol is not the 'real Spain' I invite you to visit Fuengirola Feria, which runs from the 6th to the 12th October, and then repeat that statement ;-) Fuengirola Feria is a Spanish as Paella, Killing Bulls, Throwing Donkeys of Towers, Olive Oil, Chorizo and Sardines on the beach! 
It's an amazing event, one which the folk of Fuengirola look forward to eagerly like children waiting for Christmas. There is a buzz about the place already as the people of Fuengirola prepare for the biggest party of the year in the town.
Where is Fuengirola Feria?
The feria ground is near the centre of town, on your left about 400m east of the train station and main bus station on the main street (Avenida de Jesus Santos Rein). Lat Long for you techies is 36 32 54.00 N and 4 37 09.90 W
How do I get to Fuengirola Feria?
From the West (Marbella end). Take a bus to Fuengirola (these start in Marbella and stop off at numerous locations along the main N340 road) and then follow the above directions.
From the East (Malaga end). Take the train to Fuengirola (these start at Malaga and stop at all of the main conurbations on route) and get off at last stop before Fuengirola (Los Boliches) and you will be able to see the Feria ground.
What can you expect to see?
Real Spain! People of all ages having a great time! There is a fun fair with rides for all ages at the front of the feria ground, popular day and night. To the rear and sides of the feria ground are the casitas (bar/restaurants). All of the major clubs in the town (the polical parties, motor cycle clubs, social clubs, etc) have a casita. Within these, which you are generally welcome to freely visit, the magic happens! Live music, dancing (Flamenco of course), singing, eating and drinking will be top of the menu each day into the early hours! And lets not forget the horses! Hundreds and hundreds of them! During the afternoon and early evening the town's folk ride their horses, some with splendid carriages, into town. Immaculately turned out they look stunning outside all of the casitas, with their riders and carriage drivers enjoying a drink, in the warm autumn sun. Fairy Lights - the feria always takes place under a carpet of spectacular lights. The Feria really is a spanish sight to treasure. Note if you are wanting to see the horses these have to leave before dusk!
Use this link to see more images of Fuengirola Feria
When to visit Fuengirola feria?
Between the 6th and 12th of October is the sarcastic answer! But to see the life I would suggest between 2 and 5pm, and for the night time action any time from 9:30pm until 5am.
Other Fuengirola Feria Tips!
Drinks to try - Rebujitos (a refreshing long drink made by mixing the dry cold white fino sherry with sprite), Fino (the cold dry white sherry) or Tinto Verano (which translates as summer red wine - red wine and sprite).
Smart dress! Most of the Spanish, and even their horses, will be turned out immaculately in traditional dress. The ladies in the tight fitting Gitanos (Flamenco Dresses) and the men looking a little like bull fighters in their smart outfits. While I am not suggesting you turn up in a dinner suit (you would look a bit of a dick!), you may also feel uncomfortable if you turn up in shorts and a T shirt!
Buying food and drinks in the bar - they casitas tend to be cashless. In order to buys drinks at the bar you will need vouchers which will be sold at one till in the place. You buy say 10 euros worth of vouchers (paper tickets) and then use these to buy your drinks. To be honest its a bit of a bloody pain!
Go do it!
Get along and enjoy the feria - I would suggest an afternoon visit to soak up the atmosphere and enjoy the sights and sounds of the horses. Then go again on an evening and get into the casitas to join in the dancing, drinking and merry making!