Andalucía, the main southern region of Spain, has the lower cost of living and more pleasant weather than most of Spain. I myself am from this region. There are many great natural areas (parks & shit) for climbing and hiking aficionados. Some of the major cities there are Sevilla, Málaga, Córdoba, Granada, and Cádiz. Sevilla is the largest city in the region and also the liveliest.
Southern Spain is also a tad bit less racist than northern and central Spain. There are many, many British and American expats living in coastal areas of Andalucía, so you'll never be too far away from people who speak English, haha. The vast majority of Spaniards don't speak any English at all, so if you long for a taste of home, living near an expat community could be nice.
The downside to living in Andalucía is that the unemployment rate is highest in that region. It's bad enough that the national average is 20%, but most of that figure comes from Andalucía alone. Many Andalusians have been migrating to other regions of Spain over the past few decades since the region is not quite as industrialized. However, it's by far the most extroverted and festive area of the country!
If you already speak Castilian Spanish, good luck trying to understand Andalusian Spanish, haha! People will understand what you say, but you won't understand much of what they say! I like my Andalusian accent, so I don't really care what other Spaniards think
If gay life is very important to you, then living in Catalunya is your best bet. Not that gay life is suffering in other parts of Spain. It just seems more alive in Catalunya than anywhere else. Living in or around Barcelona will allow you to be as gay as you want! Hell, I dare say Barcelona these days is probably gayer than San Francisco or West Hollywood. Anywho, the cost of living there is absolutely outrageous (mainly in finding a place to live). Expect to pay a lot of money for a flat that's barely bigger than the average American bathroom!
It's recommended that you learn the regional language if you live there - Catalan. While every Catalan can understand and speak Spanish, many are resentful to all things Spanish for historical and political reasons. It's much appreciated to speak Catalan when you can with people there. Plus many public things (signs, notices, brochures, some restaurant menus) are published only in Catalan. Catalan is very similar to Spanish, so it wouldn't be that hard to learn anyway.