Two reasons to visit Valladolid:
1) No crowds of tourists and touristy "schlock" for sale like in Toledo and Segovia [although I love both of those cities] and
2) The variety and number of different churches to visit make it a relatively unknown treausure.
I lived in Valladolid for four months and found the downtown pedestrian district always a great place to stroll, and again, the rich religio-architectural heritage of the once-capital of Spain is fantastic. Most people don't think of it as a tourist destination. Glad you have.
Are you driving or planning a train trip from Madrid?
P.S. Don't tell the Puerto Ricans or Cubans, but Columbus is buried here [too].