You could sign up as a visiting student (alumno visitante) at any Spanish university and take almost any class you want (with Spaniards, not foreigners). It's very cheap to do so, though I believe there is a mininum of classes (maybe two or three a semester) that you must pay for--still it's a great deal.
http://www.ucm.es/info/ucmp/cont/descargas/documento1811.pdf There are also lots of seminars and lecture series that are free to the general public here (look at the Reina Sofía, Filmoteca, Complutense, etc.). Some universities have summer classes that you can go to as an oyente (auditor):
There are also lots of seminars and lecture series that are free to the general public here (look at the Reina Sofía, Filmoteca, Complutense, etc.).
http://www.ucm.es/info/cv/indice800x600.html