What are the rules/regulations regarding the carrying(and possible use of)pepper spray... I look forward to my Christmas time visit but I will not have my trip ruined nor do I think it is reasonable to avoid Madrid.

who knows what the rules are. do NOT take it in carry on luggage, tho, because they will for sure take it away. I imagine that if you ever used pepper spray on someone trying to rob you/assault you, you wouldn't have to worry about it. So, if it makes you feel safe and you know how to use it, sounds reasonable to me!