You might be surprised to find yourself at Sol (in Madrid) eating grapes with fellow Americans and Italians at midnight, in the rain. Thereafter you might be surprised to find all the places closed, but wait a minute !!! At 1 or 1.30 many places start to open and then the party rambles on until late in the morning. Find out what places are open before you go out though.
I believe the Madrilenos spend the evening among friends, at dinner parties, and go out (if at all) after midnight. My suggestion is : Get an invitation.
If you go out a couple of nights before and ask around I'm sure you will find a party to get invited to.
This is of course if you spend New years in Madrid. Otherwise I would se if I could go skiing, possibly in Sierra Nevada or Baqueira-Beret (wronly spelt I think)
[ 10-14-2001: Message edited by: MadridMan ]