Almost everywhere... (though as you may know it is not a spanish drink). Perhaps the best place to buy a bottle is either a Duty Free Shop or any big store.
El Corte Inglés at Puerta del Sol has plenty of tequila, and at great prices. I bought a reasonably good bottle of reposado..Sauza Hornitos.. for 14 Euros. Much cheaper than I can get it in California.