Make sure you go into the city central, Plaza Mayor and also the Prado Art Museum is only a 10-15 minute walk away. And one last note, there is a huge flee market on Sunday's, I think the hours are from 10 in the morning until 2 in the afternoon. To get there, if you are in Plaza Mayor, look for the exit where the big tourist sign is (if you notice the horse statue in the center of the plaze, the exit is to the back right side of the horse. Follow this exit and when you get to where the street veers left or right, go left. The flee market is perhaps 5-6 blocks long and very crowded with people, you will be playing bumber cars. Also be careful when in Madrid, I have three friends here whom have already been pick pocketed, and three more have had their cars broken into.