Seemingly every seaside city in Cuba has a malecón the locals say is a must walk. The most famous one, however, is the broad esplanade in Havana that stretches from the port in Habana Vieja, flanked by Morro Castle, to its Vedado neighborhood where you can find trendy places like La Fabricá de Arte Cubano.
The most popular time to view the malecón is at sunset, and the most popular method to view it is by cruising in the back of an old 50s convertible. You can try to hail a car on the malecón, but your best bet to find a nice candy-coated beauty is off the west side of Parque Central just north of the Capitolio (the dome of which can be seen in the top photo of this post).
If you don't want to shell out for an expensive cab ride along the malecón, you can certainly join the many who walk it every evening to enjoy the view. This option also will give you more flexibility to stop in a restaurant or a bar and relax while you take in the sunset after a long, hot Havana day.