Madrid tends to be protected from extreme cold outbreaks by several mountain ranges to its north. As a mater of fact, in the closest in of those (Guaderrama's), ski resorts in places like Somosierra will be active. In late February in Madrid you can expect daytime temperatures around 14-15 (Celsius) and 0-4 overnight. In Farenheit that's high 50's in the day and mid-to-high 30's night.
Segovia will be colder.
Coastal Cantabria & Vizcaya's maritime influences keep temperatures from going thru the floor. You can't get to Fuente De (in Picos de Europa) by bus until May. They all terminate in Potes.
Bilbao's bad news: It's in a geographical 'bowl,' in a manner of speaking and the cold air just sinks into the bowl and stays there. I like Santander! It's a bustling University city, well communicated. Torrelavega will probably be quite a bit colder because it's inland.
There's good bus service across the north coast (Alsa motorcoaches) all the way from Irun-Gijon (Principality of Asturias). You can also get local bus service (infrequent) Santander-Potes (la Palomera), and other villages; and then you have FEVE (Ferrocaril Español de Via estrecha - just like it says: a narrow gauge rail line that traverses some beautiful scenery thru Cantabria & Asturias)
http://www.FEVE.es Continental-Auto runs Motorcoach service Madrid-Santander or Madrid-Bilbao from the Avenida de America bus terminal. Scenery will be awesome as you go thru the mountain passes north of Burgos.
BTW
I expect to be in Spain in early February; I'll probably be in Cadiz (for Carnaval) or Huelva.
[ 12-04-2001: Message edited by: Eddie ]