One of your first stops should be Hornachuelos Visitor Center. Here, you'll be able to find your bearings and get some great ideas before you begin exploring.
To visit this tourist information center, you'll need to find your way to Hornachuelos. You'll find loads of other worthwhile attractions in the area, like Sendero de los Ángeles, Palace and Gardens of Moratalla, and Sendero de Guadalora.