We rented a car in Malaga via Hertz and dropped it off in Madrid last year. We drove through a lot of Andalucia and Extremadura, and it was really pretty easy overall. Make sure you've got GPS for your travels (either car rental or a mobile hotspot you can connect your phone to), and you should be in very good shape.
The AVE trains are generally great as an alternative, but they don't go to Granada or Ronda at the moment. You'll be limited to slower trains for those destinations.