Here is the link for the details for the gym I use in Estepona - Complejo Deportivo José Ramón de la Morena:
http://www.centrosupera.com/centros_deportivos/es/datos/complejo-deportivo-jose-ramon-de-la-morena/13
It costs €34 per month which includes full use of the gym, pool, sauna, jacuzzi and all classes (there is a one month joining fee but sometimes they have offers on which waive this). They also have special rates for families/couples/mornings only etc...
The details of the different rates can be found here:
http://www.centrosupera.com/centros_deportivos/es/abonos-servicios-actividades/complejo-deportivo-jose-ramon-de-la-morena/13
It's very easy to find and it's fantastic value for money.
Also, a friend of mine, Stan Blair, is a personal trainer who does all types of personal training, specifically golf fitness. He is based in Estepona but can travel anywhere along the coast area. The best thing is, he offers a free consultation so why don't you try him out?! Call him: +34 634 830 410 or email: slicfitness@gmail.com