I agree with Martin's points, but I have some extra points as well.
Spain did not have forces enough to attack Gibraltar by itself. Besides, another war would have weakened Franco's position in government. I do not think either that Franco would have allowed German troops to go through Spain to attack Gibraltar. Do you remember what happened when Napoléon I asked permission to pass through Spanish territory to attack Portugal in 1808? Napoléon invaded Spain without firing a shot. Franco and the Spanish people were not going to allow that to happen again.
Italy and Germany did not have the naval and air capacity to give a severe blow to the British at Gibraltar. The Royal Navy was too strong in the Mediterranean to be knocked out from there easily.
And let's say that Hitler decides to invade Spain because he sees that Franco is an ungrateful miserable cretin. The terrain in Spain is not adequate for armoured warfare. But so was Greece and Jugoslavia...
Maybe Spain would have been smashed and Gibraltar attacked. But the terrain of Spain favours enormously partisan warfare and Hitler would have had as many problems as Napoléon had since 1808 to 1814.
The German had the Eastern Mediterranean under their control. The middle Mediterranean could have been theirs if Rommel would not have lacked of strategical vision and therefore the British would have had only a third of the Mediterranean... which was not very worth it without the other two thirds...