Hi,
I was in the Costa de la Luz last autumn and loved it! We stayed in a village called Conil, and it was very different from your typical expectation of the 'costas'. Instead of high rise hotels, all-day breakfasts etc, we had beautiful long, wide, deserted, clean beaches, and traditional villages with mainly spanish tourists and lovely restaurants.
There is a loads to do in the environs - it depends on which part of the Costa de la Luz you are, but a trip to Cadiz or Jerez (where Sherry is made) could be nice. Or further south to Tarifa (windsurfy resort) and Gibralter.
There are also some famous 'pueblos blancos' (white villages) - which are small in-land hill-top villages all painted white - Arcos de la Frontera is one which is very nice (and has an amazing Moroccan restaurant!).
A day trip to Tangiers is also an option, but one I wouldnt recommend - I think Tangiers is the least attractive town in Morocco.
As someone else suggested, and trip to Seville is a must if you can handle the heat - Seville is a beautiful city.
This part of the costas is very windy which makes the weather feel more refreshing.
Hope you have a lovely trip!