I will be in Madrid in May and would like to book tours and/or passes to museums. The on-line travel service offers a few and I'm not sure if worth booking with my flight rather than purchasing in Madrid. What must I not miss when in Madrid? I'd rather ask than purchase blindly.

Pullmantur offers the following:
Toledo
Escorial
Avila y Segovia
Acala de Henares
Royal Palace and Prado
Panoramic Madrid City Tour
Flamenco Dance Show at Florida Park nightclub

NeoTourismo offers a Madrid pass for free entry to museums etc. including discounts for selected shops and restaurants

Consorcio Regional de Transportes de Madrid offers discounted passes for public transportation

BTW I will be staying in the Puerta del Sol area.