The problem about travelling from Lisbon to Malaga by car is that if it is only one way, the inter-country drop-of charge will be ridiculous.
By air your best bet would be a low cost with Easyjet or Vueling.com on the Lisbon - Madrid sector and then Spanair on the Madrid - Malaga Sector.
Spanish Coach operator
www.alsa.es
currently have a daily departure at 20:45 arriving Malaga the next morning at 08:45. (Change in Seville.) Current 1 way price - € 59.00.
Note this is the current winter schedule and you should monitor their site for any changes.
