As much an adventure as a lodging, these one- and two-bedroom units in the Gypsy quarter of Sacromonte are fully modernized cave dwellings with whitewashed walls, tiny bathrooms, and a corner equipped for minimal cooking. The kids won’t be able to wait to tell their friends they stayed in a Gypsy cave. You, too. Just be aware that the caves are a real uphill schlep from the road and there is a cleaning fee charged when you check out. Most units are rented by the week.