Our family of four stayed for one night and the location - 5 mins from both train and bus stations - was perfect.
If coming from Malaga, get the bus from.Stop 33 at main bus station, next door to Malaga MZ train station. Fare around 8 Euros and pay the driver. Only a few buses each day - inc one at 1315.
Trains from Seville, etc, to Antequera C station. Don't go to St Anna station which is miles away.
We only saw a little of the town, but it's nice to poke around. The walk up the steps for the view from the castle is well worth the effort.
Hotel was fine for us. Beds not brilliant and few fancy touches, but it was solid and unpretentious like the town itself. Not bad at all.