This is in response to David's question on another thread.
This is how I would recommend first-timers to Madrid to spend their time:

Day 1 Just pick an Area to walk around in, such as Salamanca, Huertas or Plaza Mayor Area. Go down side streets and find a cool restaurant. Just relax, and maybe take in a minor museum, such as the Sorrollo art museum in Salamanca. Frequently, get coffee and pasteles or later in the day, tapas and drinks. Walk a lot and explore.

Day 2 Do some of the biggies, Prado, Royal Palace, Bull Fight (gross, but some like
it), and/or Retiro Park.

Day 3 Spend the day in Toledo. Its narrow streets are so mysterious, and the catedral is beautiful. Travel there via the Atocha station. The station is interesting and across the street is the Modern Art Museum, with the very famous Picasso piece,
?Guernica?

Day 4 David, you indicated you would go out of town. Segovia, Avila, and El Escorial are all super. Personally, I would repeat Day 1 above, and focus on another area of Madrid to explore.
Have Fun!

Don't forget a drink at the Vistillas before dinner, everyday..... Especially in spring when the Sierra is still covered with snow.

Go to the Cava Baja St, the tapas street in Madrid. You will get a taste of our cousine but also of old, austere, seductive old Castile.

Cheers,
André