Strange sites in Southern Spain?

I traveling to Madrid and Southern Spain soon and I'm always on the look out for the unusual. Any suggestions? I'll give you some examples in the states to give you an idea:

Oriental Wig and Weaponry shop (NYC)
Mutter Museum of Medical Oddities (Phila)

Strange stores, offbeat museums, mysterious sites, strange sporting events, eccentric homes to tour, religious relics- you get the idea.