In fact the Reina isn't all that expensive as it's a good quality 4-star hotel (Bull Hotels). For less than a hundred euros per night, if you're lucky, you get to walk out right onto the beachfront (and many guests do, still wearing their dressing gowns).
While the pool area is for guests only, there's a smart public restaurant on the top floor. Called the Summum (here on TripAdvisor) it specialises in a fusion of Mediterranean, Peruvian and South American flavours and has a great reputation.
However, you can still get that posh hotel feel even if you don't want to splash out on a meal or a room.
Just head to the beachfront terrace, find a table under a palm frond, and order a beer or three. Then watch the world walk by on the beachfront promenade. Around you, you'll see a mix of guests from all over Northern Europe, the odd businessman with his 'daughter', and a selection of the city's smart, older crowd (think architects and lawyers with jumpers over their shoulders).
Alex Says: The Reina recently refurbished its terrace and the regulars were worried that it would go all minimalist on them. It didn't. As far as I can tell, it just put everything back exactly where it was before the refurb.