We have been with Kaas&Kirkemann from the first day. I do not know if they are cheap or have good coverage, but we wanted to be able to deal with any problem in our own language, if we will ever need to benefit from the insurance. They speak danish, swedish, english and spanish. We have got the insurancepolicy in english and their conditions in danish (also available in English I think) Their office is in Centro Idea - on the road to Mijas, so they are quite local.
Homepage is: http://www.kaaskirkemann.com
Our parents also have an apartment in Spain, and they have had 3 burglaries. They had to pay their lawyer to deal with the spanish insurance company. Quite expensive