If you would get bored you can always take a trip to the Caves (Cuevas). Amazing and big caves very close to Nerja center. Best option is to take the bus.
If you like to make a little longer excursion there is a nice aquarium in Almuñecar.
Also there you can go by bus quite easely. There is also a really cool castle in Almuñécar which you should try to see while there.
Then there is my favorite place! The indoor public pool (which even has a Spa).
Then there are plenty of walking to do and if you have a car, just make a tour around the mountains.
You can also check out this nice blog which has allot of information: Discover-Nerja.
