Thanks for the suggestions!
I first looked at Hong Tu Di but I read somewhere that is not a good idea at winter (even though it doesn't look like winter at all these days).
I also checked Xishuangbanna and it looked tempting but too expensive.
Fuxian lake is nice but in summer, when it's possible to swim.
The day we left someone decided to go to HeKou, border with Vietnam.
It SUCKS! The only reason going to Hekou is if you are looking for prostitution (there is plenty of that).
We got stopped at the toll gate before Hekou and there are military guys there checking every car. I had problems because I didn't have my passport. We got through because we were going to visit some friends who live there so they had to come and talk with the officers. We were stuck there for like 30 min making photocopies of my driving license and who know what.
It is very controlled.
The next day at night we left Hekou and stopped at QuJiang, near Tonghai, at a hotel with hot-spring. We got there at 23h and had some baths. It was nice because there were very few people. But most of the pools were empty. They also have tennis court, pingpong, tables for majiang, a big swimming pool, billar, etc. The breakfast was awful, only TWO things!
The next day we went to JiuXiang, near Kunming. You have to go towards Shilin but by the old road, not highway (very bad road and a lot of trucks). Like an hour later you will see JiuXiang and then the Jiuxiang scenic spot. There are huge caves. It was nice.
The entrance is 90/person but when you get to the end they will make you pay 30/person for the cable-car. Of course they don't say anything and the only way to get back is by cable-car. That really made me angry.
Kunming-Hekou it's like 6-7hours driving.
Good road in general.
Hekou sucks but on the way you pass trough or near Tonghai, Shipin, Jianshui, etc. and there are some interesting places to see all along.