I have read this whole interesting thread, and would say, that after almost 2 years here in Barcelona, my experiences haven't been quite as annoying as Russ', however I do see some common themes.
The smoking of course is true, however this is the same the whole world over and in the States there is an almost Nazi anti-smoking mentality, to where smokers are ridiculed and ostracized. It's a little bit of overkill. Regardless, I don't smoke, but I used to, and I feel that if an area is well ventilated then I have no problem with it. However, the metro is right out folks.
The "Que?" thing is the same the world over, that is the burden of being foreign. My accent is not American but I still get that "Ein? Ej?" sometimes. Mainly on the phone. And work environments, well, work sucks.
I came to Spain to get a masters degree and do a complete career change for that reason, that office work is always crap (my jaded opinion). And yeah the pay is lousy but it works out for me, I live better than in NY.
The healthcare system has struck me as good, I have seen some other countries' hospitals and they were kind of sketchy. I had to take a family member to the emergency room here once and the place was fine. But then again I don't have a baby on the way and haven't a clue about how US hospitals deliver them - I was surprised to read that it is so 'natural and confortable' - I thought it was just in a hospital room and that's that. If you want the best then get a Sanitas policy and go to a private hospital.
The racism is important to put into context, such as if Moroccans started moving into Ottuma Iowa en masse. People take a while to get accustomed to the 'different.' In NYC we could give a hoot about where someone is from. It's a destination. Here, Spain has always been a place from which people have emigrated. Now, it's also a destination and the people are dealing with immigration. Not to mention that the society in has advanced 50 years in 25, as in 1975 the country was still in the 50s, which explains the sexism, however from what I have seen Spanish women are quite adamant about their rights and do not take much @#&!
If someone has lived their whole life in a place then living somewhere else is always a trial. My sister tried to move to Seattle and couldn't stand it. I lived in Florida for 5 years and it was dreadful. We have a 'base' from which we build our expectations and when we live somewhere else it is a disruption.
In conclusion, one must weigh heavily a move to another country. It starts out enchanting, and then moves to annoyance, and finally to acceptance. But it's an experience which will change your life fundamentally for the better.