Best information I can give is about Barcelona as I lived there for a while, but been to both Malaga and Madrid a few times.

Malaga: Nice holiday town, most you'll probably do there is relax and enjoy some pescaito frito and a cold gazpacho (so jealous) near the sea. I second the whole 'it will be horrendously hot' so 'siestas' will be part of the plan too.

In terms of recommendations, if you have a car, definitely drive to Granada for a day or two (if you haven't booked accommodation yet), it's one of the most beautiful cities nearby.
Back to Malaga, on the top of my head I can't remember specific restaurants, but I'm sure you will eat well for sure. Even the tourist restaurants are great and definitelly check some live Spanish music venue out.

Madrid: This city is massive and there is loads to do. I would recommend getting there midweek to spend a couple days doing the typical Lonely Planet's top things to see in Madrid and use the weekend to Live Madrid. It's a city that really does come alive at night. You will find some excellent bars in Malasaña where you can take your drinks to the street and stay outside surrounded by a crowd until stupid o'clock.

I forgot to mention, everything you do in Spain routine-wise (breakfast, lunch, siesta. dinner, drinks and sleep) delay it for a couple hours... Everything happens late.

Barcelona: I lived here for a while and I feel like there is not enough space to recommend stuff in a comment box (which already is pretty long). Similar to Madrid but not as big and slightly more tourist oriented (specially the Ramblas area), but my favourite of all. Check all Gaudi's (famous architect) creations and get lost in the Gothic neighbourhood (magical).

To be honest, all of this can be expanded as the date gets closer and I am happy to provide more information if you want to ask me when you get there :)

You will have an excellent time and you will eat very well.

Buen viaje!