I just returned from Madrid on a family vacation. One of the problems is finding stuff for kids. There are plenty of great museums, but kids get tired of that real fast. Yelmo Ideal Cineplex has alot of English language movies playing (Plaza Jacincto Bevavente, near Sol), the Teleferico cable car was alot of fun, if the kids are into flea markets, the Rastro on Sunday mornings is fun (near Plaza Mayor). Frommer's Madrid had a section "Especially for Kids" which has some good suggestions. For adults, don't miss the Prado, the Thyssen-Bornemisza, or Lazaro Galdiano museums. The Lazaro Galdiano is a bit out of the way, but well worth the trouble of seeing (think Frick Collection in NYC).