If you have time, leave the capital and visit Segovia, Toledo or Avila. This is not an anti-Madrid comment, as I love the place, but for historical buildings and atmosphere these small cities are a better bet. Otherwise try and sample a Latin music night, for instance in the Cuban cafe halfway down Calle Espoz y Mina. (I'm sure others can give you more suggestions).
Have Fun!
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An English Bookseller in Madrid