Holiday Autos has always been my preferred company, but I always take out insurance with insurance4carhire like Karl. This way you are covered for tyres, glass, underside of car etc. which are not normally covered without taking out the excess (and usually expensive) cover. Additionally the policy lasts a year so if you hire again, you are covered. You could also try www.auto-reservation-plus.com I left things late one year and struggled to find a car, however they came up trumps with a car from Europcar that was cheaper than the suppliers quote.
I hired at Malaga airport a couple of years ago and it was undergoing major reconstruction. Getting the car back to the right place was a nightmare, especially if you've left the minimum fuel in the car. The last thing you need is to have to drive round and round looking for the return parking bays which are on a different floor to the collection bays. It's definitely worth asking when you pick the car up, where they want it when you return.
I was advised by friends that the hire desks are notoriously slow at Malaga so I made a bee-line for them as soon as we arrived, leaving the family to wait for the cases. A lot of others were doing the same thing. Fortunately it worked and we made a quick getaway. Once out of the airport the motorways are very close and you're soon on your way to your resort. Have a good time