Just visited Mijas on Thursday Aug 31st. Beautiful small town in the mountains about Benidorm. We hired a car for £15 with air/con (a necessity in the 90 degree heat) and it is well worth it. The best road is from Fuengirola where the road is gentle. From Benelmadena it climbs (and possibly is more scenic) but halfway up it hadn't been finished and there were quite a few potholes.
The shrine to the Virgen de la Pena is well worth a visit. it is carved out of the rock and there is a lovely peaceful atmosphere inside. A lot of the hair has been removed. (see earlier opinion).

Outside there are the Mijas donkeys which is enough to make you weep. They are tethered ther in baking heat with no drinking water, obviously because the authorities do not want donkey urine all over the streets. Some of the owners are cruel. i saw one slap a donkey's neck hard and then drag him to a rail and push its face into the wall. It was tethered with very little rein to move its head. Awful, really awful.

There is also a plaza de toros (bull-ring) which is in regular use.
The houses are all white washed and look very picturesque against the mountains.
The streets are narrow ans steep. Wheelchairs and buggies will struggle in places.
There is a lovely art gallery/shop with some beautiful artifacts for sale. Particular the Ebano crystal sculptures from Barcelona. Air conditioning in the shop makes it a cool respite from the heat.

Lots of bars and restaurants and cheap souvenir shops which spoil it.