I'm sure someone put a post on recently about the sad lack of outlets where you can obtain Artists Materials, but mentioned a new shop in Benijofar (I cannot find the post now).
However, I agree that speciality shops like this are few and far between locally, BUT there are some excellent Spanish art supplies companies on line. I use Barna Art, and Totenart. Both have comprehensive websites and offer an excellent courier delivery service. If you are looking for art materials why not have a look at these sites. (You will need a good knowledge of Spanish of course !)

La Marina