Hi
Does anyone know where to buy art supplies - good watercolour sets, pencil sets, good paper etc in Madrid?

well never needed to buy,or very long time ago,dont remember. My first reaction would be the El Corte Ingles.

Well, here is a list of a few places that may have the material you are searching for. Unfortunately, I can't tell you about the quality of their products or the prices.

The good thing is they are all located quite near to each other.

Jer: Hortaleza, 72
Jeco: Hortaleza, 82 and Pelayo, 8
Plaka Técnica: Colón, 11
La Riva Papelería Técnica: Plaza de San Ildefonso
Bellas Artes Pontes: Abada, 2