Melilla (Arabic: مليلية (Maliliyyah), Berber: ⵎⵔⵉⵜⵙ (Mřič)) is a Spanish exclave in North Africa, on the Moroccan side of the Mediterranean. In some ways it's similar to Ceuta but in other ways it's unique.
You are in Spain. People speak Spanish. But you are also in North Africa, and many people speak Tarifit (Spanish: rifeño, a variety of Berber). Arabic is also widely spoken amongst the Moroccans in Melilla.
From Morocco. Melilla is completely surrounded by Moroccan territory (and the sea), and this is obviously a very sensitive border. Many try to cross illegally into Spain, with dire consequences. Crossing legally (in either direction) is also an eye-opening experience, but presents no particular difficulties if you are not transporting counterfeit goods or hashish.
Don't forget that Spain and Morocco are in different time zones. You will lose one hour during summer when Spain observers daylight saving time.
There are ferry services run by Acciona Trasmediterránea and Balearia (dead link: June 2020).
Moroccan train operator ONCF has three trains daily between Taourirt and the Beni-Nsar Port train station. Connections are available at Taourirt with trains to Fès, Rabat, Casablanca and Oujda.
Melilla is a territorio franco, which means no VAT or other taxes.
The city is full of café/bars but the liveliest part is the Puerto Noray, opposite the big Hotel Puerto Melilla, which has many restaurants, bars and nightclubs. And all of the bars look over the marina.
Melilla is a safe city to visit, though not unconditionally so. There are always lots of people enjoying the beach, etc. until late; though it is not advisable to travel alone at night, even in the city centre. Street robbery is not an uncommon occurrence for people walking alone at night in Melilla.
Pickpocketing is relatively common here, especially in public toilets where a common tactic is for a group of large men to crowd round the victim and basically empty every available pocket. It is a better idea to leave valuables with other friends before going to the toilet, or failing that, to surreptitiously tuck your phone/wallet into your socks.
Catch a bus from the Plaza de España to the Moroccan border, 2 km to the south. Cross the border into the Moroccan customs and security area and queue up at the police kiosk to get your passport stamped: this can take a while. Be sure to go up to the window and ask for an entry form to fill out (in French, Spanish or English) while you wait. Be careful as scammers trying to sell you these forms or trying to "help" you complete them will run off with your passport.
When you get out you will be in the village of Beni Enzar which has the port of Nador with sailings to Almeria or France, where you can find banks (just next to the port) or a collective taxi to the city of Nador. Remember to turn your watch back one hour during summer when Spain observes DST.