By public transport, the best and fastest way will be by long distant coach via Seville.
There are twice daily direct coach services from Albufeira to Seville. See the following sites for more information:
http://thomasallen.home.sapo.pt/travel/001.htm
Get the 07:35 from Albufeira Bus Station arriving Seville Plaza da Armas at 13:00 Spanish Time.
From Seville you can get buses to Marbella direct operated by the bus company "Los Amarillos".
There is a departure from Seville at 16:00 arriving Marbella at 19:00.
It makes a long day but it is the most direct and fastest.
