Hi,
There are a slew of good pubs and party places on calle Huertas not too far from the prado. My favorite place is Fontana Del Oro on calle Victoria No.2. They have a band upstairs and tables downstairs in the caves. It's right off Puerta Del Sol near the Tio Pepe sign. Across the street they opened a new bar which was cool and up about three blocks there is a place called Havana De Cuba if you like Salsa and Mojitos.