Earth : Europe : Iberia : Spain : Andalusia : Cadiz (province) : La Línea
It doesn't have much to recommend it as a tourist destination in itself, but as you will have to at least pass through it if you're entering Gibraltar by land, it's many atmospheric bars and restaurants might warrant a visit.
As you can walk from the centre of La Línea to the centre of Gibraltar in less than half an hour, it also provides alternatives for accommodation if you find yourself balking at the Gibraltan prices.
Buses from Algeciras arrive at the bus station, which is a few minutes walk from the border and town centre.
There is a small tourist office on the Av Principe de Asturias, just opposite the Gibraltar border, or a bigger one towards the town centre (another 5 minutes walk as you continue walking directly away from the border down Av 20 de Abril), where you can get maps and lists of accommodation.
The colourful and bustling central market off Calle de Isabel La Católica is worth a wander, although possibly not for vegetarians!