The beach in Estepona is really long and perfect for sunbathing. There are plenty of restaurants along the beach (especially in the middle), as well as in the harbour which starts where the beach ends in the west. This is where we also had some great paella, but I have to say the harbour was not my favourite place given the large number of tourists and touristic restaurants (every other restaurant was Chinese) with higher than usual prices for Spain.
We also walked to the harbour one evening to have dinner in one of the oldest (75y) restaurants (Restaurante La Escollera Estepona) in Estepona famous for its fresh seafood. The location itself was not very attractive as it was in the docks between the harbour and beach, but otherwise the atmosphere in the restaurant and the food were very good.