What clothing to pack over New Years?

I have read previous threads on what to pack, but I want to know specifically what do women wear for New Years Eve?
I have been told they wear elegant long black dresses. Does this sound right?
Also, for the December/January weather, should I pack mostly warm clothes?
Are jeans acceptable?
How should I dress to go sight seeing?
Should I stick to colors like black, navy, and gray as previous postings have suggested?
I have heard the shopping is good in Spain as far as price and quality. I need to get a black winter coat. Should I wait to get it there or buy one here in the states before I go?
I am leaving in 3 days for Madrid, so I would appreciate any feedback. I just don't know what I should pack because I want to pack for going out to bars and clubs at night, sightseeing by day, AND be able to stay warm. Help!!

Yes, woman wear very elegant on new year's eve.

This winter we are having a very cold weather, so it is advisable to pack warm clothes.
Jeans are acceptable almost everywere. Only if you plan to go to very elegant restaurants, you will need tie an jacket.
It's a good idea to buy your coat here, as all shops will be on sale on january and you will find very good prices.

Hope my message reach you on time and hope you understand it. Sorry but I have some problems writing in english.

Thank you, Felix! Your English was just fine! I am leaving tomorrow for Spain and arrive in Madrid on Friday, so your posting was just in time. I am actually packing at this very moment. I will probably shop for a dress for New Years Eve when I get to Madrid and a coat as well. Hope to see you at the party on the 29th!