Andalucia enjoys a sub-tropical climate which means that in the middle of summer you may not need more than one layer of clothing even at 6 am in the morning. During the spring and autumn, however it is wise to wear layers of thin clothing which can be peeled off if and when necessary.
There has been a lot of negative publicity lately about tourists who wear their beach clothes when shopping in town. Be sensitive to the fact that, while you are on holiday, locals are working and going about their daily business so, even if you are a veritable body beautiful, cover up a little.
On the whole the local people dress conservatively and make an effort when they go out, even if it's just doing the daily shopping. In the evening, this is accentuated still further with men wearing suits and women stylishly dressed, particularly when dining out, thus, if you are going to an average to high quality restaurant, you may want to wear something more dressy than you might at home. Similarly, if you plan to visit the discos, you will find that locals wear whatever is in fashion and are well up with the latest trends.
Although the winter months are short, roughly stretching from around November to February, the weather can be cold and you will certainly need a jacket, particularly in the evenings. Although you occasionally see Spanish women wearing fur coats, they are more for show than anything else, as it rarely drops less than 8 degrees centigrade. Gloves and hats are similarly rarely necessary - except if you are visiting the Sierra Nevada mountains, that is!
During the winter months, you may find that the heating in private homes, restaurants and bars is insufficient, especially if you are used to central heating back home. Always make sure you have an extra layer just in case and if you are staying in a hostel, don't be afraid to request extra blankets.
There is not much rain in Andalucia, however when it does get wet, it is usually torrential, so always pack an umbrella unless you are coming during the summer months when you are more or less guaranteed to have dry sunny weather.
If you are going to do any walking with your luggage, a backpack is the sensible answer. One with straps and openings that can be zipped inside a flap is more secure and there's less risk of getting it trapped in escalators, caught on door handles, etc. A small daypack is also useful and, of course, good walking shoes - essential.