You can find Beckham jerseys almost anywhere in Madrid. His number 23 is ubiquitous in the capital. Try the Real Madrid store just off Puerta del Sol, near El Corte Inglés. You can also trek up to the Estadio Santiago Bernabeu (Metro line 10) and buy it there. There are also many "unofficial" versions of the jersey available for sale in souvenir shops and on the street. I went to Madrid with a friend a couple summers ago and he searched the entire city for just the right jersey, making sure that the ones he found (he bought two Beckham jerseys while we were there) were the official licensed ones. He was very very picky, and I was annoyed (especially since I am a fan of Atlético, Real Madrid's cross-town rival!). Good luck finding the jersey you want--it shouldn't be hard.
Loc: Trumansburg, NY
I second the Ebay suggestion. My daughter is a Raul fan. I just bought her one off ebay. Very nice, official version. Got it for about $25 incl shipping - as opposed to the 70 euros we saw last summer. Btw, while shopping for sporting goods last summer in Spain - my kids liked the Decatalon stores. They were all over.