There is a special train, the Tren Medieval, Middle-Age's Train, whose ticket includes the route Madrid-Siguenza-Madrid, a guided tour in Siguenza, and 10% discount in several restaurants showing your ticket. It departs from Madrid-Chamartin at 10am, and arrives at Siguenza at 11:25am. The return trip departs at 6:10pm and arrives at Madrid-Chamartin at 7:32pm.
It is scheduled on these Saturdays:
March 3, 10 and 24
April 14 and 21
May 5, 19 and 26
June 2, 9, 16, 23 and 30
July 7
September 15, 22 and 29
October 6, 13, 20 and 27
November 3, 10, 17 and 24
December 1
The fare is 23 EUR.
Link to the Renfe's Website:
http://www.renfe.es/trenmedieval/index.html (Spanish only)