Many of the pueblos blancos (white villages} are to be found in Cadiz Province. In particular, Grazalema and Zahara de la Sierra are very attractive and excellent walking centres.
Be sure to try the restaurant "El Rancho" in Sanlucar de Barrameda. Probably one of the best kept secrets in southern Spain, the restaurant serves huge portions at dirt cheap prices. The "Secreto Iberico" is such an amazing pork dish, that it may replace steak as your favorite grilled meat!
Sanlucar de la Barameda, Jerez de la Frontera, and Puerto de Santa Maria, form what is known as the Sherry Triangle in the Cadiz province. Each city specializes in particular types of sherry; Sanlucar produces Manzanilla which is soft enough to taste like a white wine and Jerez produces Fino which is a very dry sherry.