There is plenty of nature surrounding Marbella, but perhaps the biggest natural attraction is the landmark mountain La Concha. This is a free public space and the mountain can be climbed from several routes. We recommend starting at Juanar or Istan.
Another favorite is canyoning in Benahavis just 10 minutes from Marbella. This can be done with a guide (pay) or on your own (free).
Of course, the beach is another big attraction in Marbella and doesn't cost you a dime. Check out the Marbella Beach Guide to find out more.
There are plenty of caves, waterfalls and Roman ruins scattered throughout Andalucia.