There are lots of street markets, ideal for fresh fruit and veg, clothes and souveniers, and these are held throughout the week all along the coast. Generally they start around 9am and run until the afternoon.
Monday: Marbella (held on the recinto ferial which is the local fairground. Its just past the Marbella arch as you enter the town)
Tuesday: Fuengirola also held on the fairground in Los Boliches
Wednesday: Estepona held on Av. Juan Carlos near the large industrial estate
La Cala de Mijas, held on the main fairground
Torremolinos, also on the main fairground
Thursday: San Pedro de Alcantara - main fairground.
Friday: Arroyo de la Miel in Tivoli World car park
Saturday: Puerto Banus in the Centro Plaza, Nueva Andalucia
La Cala de Mijas - fairground
Fuengirola - fiarground (also enormous flea market!)
Sunday: Estepona - marina
Torremolinos - fairground