Los Alpes, at Arcipreste de Hita, 6 (right near Moncloa, off of Melendez Valdes). When I lived in Madrid my friend lived right across the street and once the weather was nice we would go to Alpes 4 to 5 times per week. In addition to the regular flavors, they have a ton of awesome specialty flavors. Ones I can remember include: carrot, green apple, coconut (my favorite), Ferrero Rocher, and Tiramasu.
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La vida es como la espuma...por eso hay que darse como el mar.