La Tortuga:
I too found this message board very useful before my first trip to Madrid in October of 2004. Let me assure you, you will enjoy learning Spanish in Spain. I have also studied in the south of Spain (in Fuengirola, near Málaga), as well as in Madrid. The teachers have always been very good and also helpful.
Do not be afraid to practise your Spanish ouside of the school. In general, the Spanish are very helpful. If you find that, for example, waiters want to practise their English, then give a little and talk to them/help them, but then return to speaking to them in Spanish. As well as striking up a rapport with them, you will also find that they will help you with your Spanish. You might also find that you get a free tapa thrown in :p
Enjoy your trip and please let us know how it went.
Regards
Robbieroy