US Airways had an offer we couldn't resist (Phila - Madrid for about $300 R/T) so we went to Madrid for 10-days in January, 2000. It was the last 2-weeks of January - weather was cool and dry: no large crowds of tourists at the Museo del Prado or Palacio Réal - Retiro Park on Sunday was beautiful. It was just a nice, laid back time to visit Madrid.
P.S.
BookLady: I was in Santiago de Compostela for AnTroido (Carnaval) in February '99. It will be in mid-February in 2002. Weather was dry. My (wife's) cousin told me that usualy it rains every day during that time of year. But it's not too cold - the maritime climate helps. Lacon con grelos is a popular dish there then. We passed many roadside stands selling grelos ('greens') on our way to a'Corunha.