For those who are more cost conscious, El Corte Inglés has free maps of the major cities where they have department stores. You just need to go to the customer service section and ask for a "plano de Madrid"...or whatever city you are in.
The maps have all the Corte Inglés locations conveniently pinpointed. Unfortunately, they do not have an index of streets, but do cover the most touristy areas of the city.