We used to go to the
Embalse de Valmayor (out toward el Escorial) with the kids to fish, wander around, and relax. It's a very nice, quiet place, although there is a bit of a trash problem - a problem I found in most large parks and park-like areas around Madrid. It's almost impossible to avoid. Anyway, check the link for plenty of information about the fish available, etc. (It's all in Spanish.)
(Woops, sorry - I just saw in another post that you know little Spanish! Basically, it's free fishing, and they have mostly carp (we call them sunnies - they're easy to catch, even with just bread) and occasionally bass and "boga" - I don't know what that is. There's a small local map on the website, but first you should go to the town of Valdemorillo and follow signs to the urbanizaciónes. We always headed to the urb. El Paraíso, and when we saw the water, we headed toward it. Again - it's a very nice place. We have friends - 2 families - who have moved there, they liked it so much!)