Hi!
As MadridGirld273 says Palacio de Gaviria and Joy are two good discos, and it also depends on the type of music you like (Chill Out, Rave, Dance, House...). It's also a good idea to get fliers before going to the discos (A good place to get fliers is the International Office in the UCM). The prices vary from 6 to 25 (A drink is always included) depending on the hour, the place, private parties...
There are other places like Mondo, Coppelia, Om, Sol, etc. In Alcorcón you've got plenty of discos too (Malibú, Inn, Moëbius...).