If you really want to enjoy some Basque cuisine without going broke, go to Bilbao.
So true! I'm a big fan of Basque food, and I'd have to second this post's advice. Instead of spending a fortune in Madrid, simply head up to the Basque region.
The food (I should really call it cuisine) is incredible. In downtown Bilbao you can find numerous cafes that serve up delicious pinchos, all made to order, and of course they all go well with any good Spanish wine.
I remember vividly a wonderful day spent with a Basque couple (long-time friends of my partner's). After a quick ride on the city's new Metro system (from their home in the outskirts) we disembarked in downtown Bilbao, strolled around, ate a little at each cafe, and then ended up at the Guggenheim.
But back to the food...incredible. Like any good food around the world, its draw is its simplicity and use of fresh ingredients.
For those in the US, Basque food is not hard to find. To my surprise, Reno, Nevada has a large Basque-immigrant population, and there are a few notable restaurants (sorry, I've forgotten their names) in the area. In San Francisco, there are at least two, high profile, flashy eateries specializing in Basque cooking.
Unfortunately, since I've been to the Basque Country, nothing can compete with my dear friend's mother's cooking. Wow, I'm salivating as I write this. Lots of fresh fish, only fresh ingredients, and of course a lot of pride in the preparation.
Yum,
Basque food in Spain!