Bilbao is a city in Spain.
This place, http://g.co/maps/2x3ze , traffic lights on Av. Sabino Arana is a good spot. Depending on the direction you are going, either stand on the right side of the road or in the middle so you get the traffic from the left lane. There's a patch of grass you can stand on if you hitch the left lane. In summertime there can be quite a few hitchhikers at that spot.
Towards San Sebastian
1. The gas station "Amorbieta" is some 10 km east of Bilbao. It can be easily reached by public transport: Take a bus from the bus terminal heading to Lekeitio (ask which number, in 08/2017 there were 2 busses to Lekeitio but only one went to Boroa, No.3523) and get off at "Boroa" Bus stop (20 minutes, 1,50 €; Google maps already features route planning for public transport:). From the stop, walk along the street for some 50 m, turn left, walk over the bridge and in the roundabout turn left and go down to the gas station. It's pretty easy to get a ride from here (I didn't check if cou can also go to the other side's station, but I suppose).
2. Heading toward San Sebastian there is a roundabout near the airport on the strada (street not the motorway) you can wait at. That was much quicker for Markus than waiting near the toll where the road goes in 2 directions.
3. Near the toll there are traffic lights, but better is a little further on where the road forks, though its not a good place to wait as its in the middle of the road it is possible. The 2 directions are Santander and San Sebastian.
4. Another spot to hitch to San Sebastian: take the metro to Etxebarri and walk to this spot: (enter the coordinates 43.235063,-2.868845 in Google maps). I got a ride there although it took 45 minutes and the cars were whizzing by.
The A8-E70 starts in downtown Bilbao. We tried there without success. Not much space for cars to stop.
So instead we took the subway to the last station on the red line: Santurtzi. When you get to the Santurtzi station go to the exit that leads another small train that just takes 5 minutes, in order to take the passangers stright up to Parque Santurtzi. From there you just go down towards the water and then follow the road and it will lead to the highway entrance. We waited 10 minutes and then got a ride to santander.
Toward South Vitoria
This option worked for me to return to Barcelona, but could be useful to go to Logroño, Burgos, Madrid, Zaragoza, etc. From Bilbao, the main motorway leaving to the south is A8 and then it becomes Ap-68. I tried to access it from Arrigorriaga city which is connected with the Ap-68, by taking the train to this place (1,95€ on december 2016), only 15 min from Abanda Station on the main center of Bilbao. There is a gas station in that on the motorway at the level of that city, but is unaccessible from there unless you go by car. Otherwise it would force you to walk on the motorway, which i don't suggest, with the risk of accidents or the police catching you, but at least, you could stay on the last roundabout before the motorway and write a sign to "Estación de Servicio" (Service station), together with your final destination, and at least get a ride of 2km to that gas station. I didn't see that much movement of cars, so it helps you to have a little talk with drivers and convince them by the little previous contact. 30 Km from that spot there is another Gas station with similar conditions. I made Bilbao to Barcelona in two cars, but i have to say i was quite lucky. Don't take it as normal, but anyway, is a good spot and at least you will be on the right way.