Tivoli World is an amusement park and performance venue atop a hill in Benalmádena. The performances can be kind of tacky - there's a Wild West Show (yee-ha!) and can-canning soubrettes - but there's also flamenco dancing which, while it may not be anything close to authentic, can still be quite thrilling.
Aside from the performance space there are a number of rides, with a whole section for the littler kids, a water flume, a haunted house, a sky drop, and assorted roller coasters. A wristband that you buy at the gate gets you a whole day of unlimited rides, but be sure that what you want to ride is actually open before you buy.
Tivoli World is in Benalmádena. By car, take the Mediterráneo Highway (A7) and get off at exit 222. You can also catch the train to the Arroyo de la Miel station.