Apart from normal Madrid fun and games, check out the Christmas market in Plaza Mayor, where you can buy an extra angel figure for your belén (crib, nativity scene) or even a mountain and an entire legion of centurions. Go to Puerta de Sol on New Year's Eve for the bells and traditional eating of the grapes too. One final word of warning. Dec 28 is the day of the Santos Inocentes, the Spanish equivalent of April 1st. In general, Madrid's quite atmospheric at Christmas. Enjoy