My last trip was three years ago, mid January, for ten days. The weather was generally cold rainy and crap. We even had snow two days running. There were a couple of nice days which made up for it a little. I'm afraid I don't know how typical that is though.
In reply to Twisty: Having been 3 times around Christmas expect everything from glorious tops-off sun through to wind, drizzle and frost. Never had a bad trip though and only been totally rained off one day out of 6ish weeks. If you want to de-risk it makes sense (although is far from essential) to hire a car; crags such as Mijas get a very different climate and can be quite pleasant when it's howling up on Frontales.