Flamenco Venues in Malaga
For Malaga city center you can check out Kelipe. In Benalmadena there is Sala Fortuna, which is a fairly elaborate (and good) flamenco production in a five star hotel.
Kelipe
Malaga (city center)More info / book at flamencotickets.com
Kelipe is a very small, underground type flamenco venue. And it literally is undergound, in the basement of a building. There is not much space but that means you can see Shane "El Indio" play up close as his wife accompanies him with a little dancing. This is a good place to see flamenco in first person without a big stage, etc. to separate you.
Sala Fortuna
Benalmadena (Malaga Province)More info / book at flamencotickets.com
Located in the town of Benalmadena, Sala Fortuna offers flamenco shows on Tuesday, Thursday and Saturday nights. The show is by Carmen Mota with a very high production level and a large number of performers. The location is right on the water although you won't see much from the venue. Afterwards you get a discount to visit the casino in the hotel!