As I live near Malaga on the Costa del Sol in Southern Span, I'm probably better placed than most to comment on this region in March.
In a word, changeable or unpredictable. It may feel warm to you, temps in the mid to high teens maybe 20c, which to us is brrrrrrr cold. You will get quite a lot of wind (pre 1960 this coast was called the Costa del Viento or Windy Coast, the name was changed as it was not attractive to tourists) Over a 4 or 5 day period you may see no rain, it may rain every day, it really is hit and miss. that time of the year.
Jan and Feb are the worst two months, normally. So March is just starting to come out of our winter.
There are loads of very reasonable 'Hostels', these are small 2* hotels which are of a much higher standard than a 2* in the UK. We often use them for weekends away. Why pay for all the facilities of a 4* that you ain't gonna use.
Unfortunately the Algarve is on the Atlantic coast and gets battered worse than us.
If you want any more info feel free to ask.............