I went to a small town in the north of Madrid called Alameda del Valle, which is quite close to the border of Segovia actually. It's basically on the other side of the mountains that lead to La Granja.
Alameda del Valle is about 4 kilometers from Rascafría (about 90 kms from Madrid). It's in the Valle del Lozoya, which is still one of the few spots in the Comunidad de Madrid which haven't succumbed to suburban build-up. By the way, DO NOT CONFUSE Alameda del Valle with Alameda de Osuna, which is a bedroom community about 20 kms. from Madrid! Quite a different place.
I love this area. It's great for visits and especially walking, and there is something for everyone in that respect. You have plenty of flat land to walk along, as well as some fairly serious hikes for those looking for something more challenging. There is also a nice reservoir. The towns are small and quaint.
Rascafría has also got a well-known monastery called El Paular (I think), which is worth the visit.
The shortest route there from Madrid in terms of distance is via Colmenar Viejo and then Miraflores. From Miraflores, you take the road over the Morcuera mountain which takes you down to Rascafría.
But if you're not up for all those curves, and it's cetainly something worth keeping in mind, take the A-1 (Carretera de Burgos) to exit 69. Continue straight on at the roundabout and the road takes straight through the valley. The last town is Rascafría, which is about 25 kms. away. All in all, when the traffic isn't bad, you can get there from Madrid in an hour max. I always take this route, basically to avoid massive car-sickness problems from my daughters in the back seat!
Here's a link:
http://www.alamedadelvalle.net/