The Malaga Lake District is an area of stunning beauty in the same area as the famous Caminito Del Rey at El Chorro, with breath taking mountains and rock formations and the cleanest blue water you will ever see in Spain.
There are several lakes which you could visit, though the most popular seems to be the Embalse Del Conde de Guadelhorce. This is signposted from the town Ardales, head for La Isla Zona Recreativa. Here you will find plenty of space to enjoy a BBQ, hiking, sunbathing, or have fun hiring a pedalo boat. Parking costs €1 per car and entry is €1 per person.
See the location on a map here.