Vila Real de Santo Antonio (usually just 'Vila Real') is the main border town between Spain and the southeastern Algarve. The Guadiana River separates it from Ayamonte on the Spanish side -- you can cross by ferry in a few minutes or drive over the bridge.
The town's main attraction is its central square, a Pombaline grid-planned plaza radiating from a central obelisk, designed to echo Seville. Vila Real is more of a transit point than a destination, but the riverside promenade is pleasant at sunset, and the five-minute ferry to Ayamonte makes for one of Europe's shortest international crossings. The Castro Marim marsh reserve just north of town is excellent for flamingos and wading birds.