I live in Marbella and I have to say if I had the choice of 4 it would depend on your budget but:

Aloha Golf Club which just hosted the Andalucia Open on the European Tour
Los Arqueros Very nice course up in the mountains not for the faint of heart
Las Brisas members club but tee times are available if you ask
Guadalmina Has two courses to choose from but its a nice place right down on the beach.

There are others that are good if your budget is a little less La Quinta, Estepona (very hilly!), Mijas Golf, the list is endless.

Hope this helps a little?