Hello all, I stayed at the Hotel Europa June 10-11. It was OK for 65 Euros (standard double), but the lack of air-conditioning would make me think twice about staying there again in the summer. They provided oscillating fans, but they weren't quite enough as it was approx. 95 F outside. The rooms were very clean and comfortable otherwise, and I would imagine that when the outside temperature is below 80 F it is a pleasant place to stay. It was a bit noisy outside up until about 3am, but you shouldn't be going to bed before then when in Madrid anyway (LOL).
Also, I spent 2 nights in the Hotel Serrano (part of the HUSA chain), just off la Castellana. It was 100 Euros per night, but definitely worth it, especially if you wanted to stay in a more residential vs. touristy area.
Finally, my brother and his wife stayed at the Hotel Emperador (Gran Via near Sol). It think it was 120 Euros/night. I only stopped by for a few minutes, but it appeared to be a nice and modern hotel, although they thought the room was exeptionally small, considering the price.