If you're staying in Sevilla then I'd just fly out of there w/the connecting flight. It's hard to answer your questions about Malaga without knowing your itinerary and what you would sacrifice for the final night in Malaga.
as others said, I would try to decide entirely on price, unless you have an aircompany preference for whatever reason (customer points, for example).
you can use skyscanner or rome2rio to check best routes.
In Europe, busiest/biggest airports are (in this order): London Heathrow, Paris CDG, Frankfurt, Amsterdam, Madrid. But it also depends on where you want to go, because some airports/companies will be better for flying to certain destinations...
Nobody has mentioned an important fact: there is a non stop Delta flight from Málaga to NYC's JFK which operates during summer months (May to October). In my opinion it is VERY convenient to fly directly from Andalucía than having to stop at a larger more inconvenient airport.
And, again in my opinion, Málaga has become one of the most popular destinations in Andalucía, and it is totally worth visiting.Edited: 02 June 2013, 12:34
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