Any musts in Madrid and Estepona?
The town centre of Estepona is not bad for restaurants, although stay away from the marina area which is as touristy as anywhere else on the Costa. We spent a fortnight there a year or so back. Can't recall names of places but I can absolutely recommend one fish restaurant just off the main plaza.
Approach the square from the direction of the sea. Walk straight across and you'll come to an alleyway. Walk up this a little way (30 metres or so) to its end. The restaurant is here on the alleyway that goes from left to right. There is some seating inside but when we were there in the summer, it was mainly outside.
No menu to speak of. A salad of lettuce & tomato formed the only starter (tomato like you also want tomato to taste like) and good olive oil and lemon. Simple fried fish for mains - with boiled potato. For me, you don't get more classic food from the area.
There are a number of bars in this area serving very decent tapas.
Out on the main road (at Km 151) is La Menorah. Reasonably upmarket, specialising in Basque dishes but also a good handle on more generic Spanish food. We liked it here, not least as it was within very easy walking distance of the villa we'd rented.
The area has strong traditional links with South America so you'll find a number of places serving, say, Argentinian dishes (mainly steak based).
Can't recall having a bad meal in the fortnight.