Fish Alley is excellent, loads to choose from and generally a good atmosphere.
Moochers is definately recommended, I especially liked their Chicken kebabs and sataysauce, got plenty and it was lovely. Their banoffee pie is also nice.
Don Pe also takes some beating, excellent service, excellent quality and the pork in 4 season ssauce is lovely.
Also agree with the vagabond, which for me is one of the best set menu's in Fuengirola.
The starters include grilled prawns and there must be over 12 prawns on the plate along with a small salad.
Some good pubs in Fish Alley too, especially O'Briens bar which I believe is twinned with Don Pe.