First, many thanks to Madridman and everyone who has posted here, because I spent many hours here researching for my trip.

I spent several days in Madrid doing the usual tourist things:
Madrid Vision bus tour - excellent way to get your bearings
Museo Thyssen, Centro de Arte Sofia Reina, Museo del Prado - you must see these
Retiro Park
Royal Palace, Plaza Mayor, Plaza Oriente, Huertas
Just walking around and getting lost

Segovia and Toledo - stop trying to choose one or the other, you must see both

Segovia - Not only are the castle and aqueduct awe-inspiring, but the town itself is wonderful to walk through. I was there on a Sunday - lots of families out after church, beautifully dressed children.

Toledo - I spent an afternoon here, not enough time. Next time, maybe an overnight trip. Another great place to wander around.

In Madrid, I stay at Hostal Tijcal (see other post) and also enjoyed one of Andres' wine-tasting tours (also another post)

Tex, how did you get to Segovia and Toledo? Did you take a tour or go on your own by train/bus?

Lipstique, chica de demasiado zapatos (he he),

I took tours, which I wouldn't normally do, but I had some time constraints, and left to my own devices, I would still be wandering the twisting little streets of one or both of those cities. Seems like you've done plenty of research about what to see, so going by bus to Segovia, and train to Toledo seems to be much more economical. The tours can rush you, and not give you much free time to wander and shop. But they are a good way to meet other people traveling, which can be nice if you are traveling alone. I met people from Japan, Switzerland, Chile, Peru, other parts of Spain, Romania, Mexico and really enjoyed that part of the tour. So, if you have plenty of time, take the bus/train, and give yourself all day (or more) to enjoy these places. Email me if you want more specifics.