Depends on your taste. But Pogs bar gets folks of all ages and nationalities in, good atmosphere and there is a band playing 4 nights per week, I think. Definitley a Fri & Sat anyway. https://www.facebook.com/pogs.fuengirola?fref=ts
My taste is rock music so I tend to stay away from the more main stream (touristy) bars as a rule but I like Pogs because of its 'healthy' mix of nationalities.
The bar in the Sunset Beach Club in Benalmadena (Fuengirola end) is really good, with several resident expats frequenting. The happy hour is between 6:30pm and 7:30pm and gets quite busy. The views over the sea are amazing, and there is zero traffic noise. They have free entertainment nightly in the restaurant too.
Have you thought about joining the modern jive dance evenings? Great way to meet new folks, good music, and exercise too!