I agree with rgf. Puerta del Sol is BUSY with high concentration of people & tourists, traffic, and pickpocketers. I would suggest Plaza Santa Ana. It's slower, but still busy with nightlife and fewer tourists -- still, be careful with your wallet. In fact, I'd be willing to bet that the majority of tourists DON'T go to Plaza Santa Ana at all.
Saludos, MadridMan (leaving for Madrid in 3 hours!)
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