As a regular driver here in Madrid, I can attest to the responses given here...
All is good advice and correct (those in the glorieta or rotunda have the right of way). Itīs good to be cautious, but that doesnīt mean slow. Move with the flow and speed of the traffic. If you drive slowly you will clog up the flow and quite possibly expose yourself to being unexpectedly cut-off.
As you enter the glorieta, head for the center lane immediately so that those entering the glorieta at the following entrance can incorporate smoothly. Avoid driving in the outer (right hand) lane until you plan to exit. Always always use your turn signal to indicate your moves and be sure to pay attention to (and donīt be intimidated by) the other drivers.
It is always helpful to know where you are going before you enter the glorieta. As you approach the glorieta, particularly one where there are more than 4 intersecting roads, there will be a large sign posted showing all of the exits. Know which one you want before entering so you are better prepared to exit. If you miss your exit, donīt panic. Itīs a circle. Simply regain your composure, move to an interior lane until you approach your desired exit, use your turn indicator and go for it!
I agree with Diana. When I first started to drive here, I hated them...they reminded me of all the traffic circles in New Jersey. But now, I think that they are a great way to keep the flow of traffic moving.
Good luck!