We are back! The trip was great and we saw more then ever before. Here are some tips that we are going to pass on to you...things that we found helpful.
The tiny suitcases were great...they have wheels, lots of pockets on the outside and are expandable (for the return trip). We also bought another one there for 38 Euros.
The compact camera with zoom worked great! took 16 rolls of 24 exp.
The individually wrapped "wet-ones" were excellent to freshen up with. These are lemon sented and have are anti-bacterial.
DO NOT BRING Travellers Cheques!!! I was their biggest fan until now. Impossible to change, and when you can, the commision is outrageous! The best place we found was the bank called "Caixa". There is also "ONE" american express office next to the Ritz Carlton by the "Paseo del Prado"
Bring some Euros Cash and use your Visa. Perhaps next time I'll bring just a few travelers cheques as back up.
I would invest in a "Camel-bak" water bottle/daypack. There are some other brands as well. Some models combine a lot of features. This way you avoid having to carry a water bottle (that says cold for about 5 min). You can put water, juice, gatorade etc. Have fun.

Electracity, the American Express travel agency you said cash the AE traveller checks at no commission. After all, they are their own checks.

Banks will charge you commission to cash any traveller checks. Furthermore, they only change a few well-known checks.

I've never used traveller checks but I think the only advantage they have is they are very secure.

Antonio, yes you are right, American Express does not charge commision....and that was my point. I had to go out of my way to go to the AM EX office (although the walk was fun). Next time, I will bring some travellers cheques but only to use as a back-up, not as a primary source.
Another tip that I remembered is to bring your "ear buds" head set. All the bus that I have taken have a radio jack that you can plug into and surf various stations. YOu will also need them to hear the movie. To make carrying them eazy, and avoid tangles, put them in a clear film case, you know the one that your film comes in. That way when you go to pull them out of your bag/fanny etc, they will not pull out everything else with them.
Also, you could bring a little battery powered fans (hand held). You can buy them at any "Dollar store" , it has those little foam blades. You will be very happy to have it as you are settling into your bus seat, or in a car, standing in line etc. Trust me!

Electracity, I laughed so much at your idea of the hand held fan, that I almost fell off my chair. I see tourists here in Florida with those cute little fans all the time! Particularly in Orlando, the Tourist Mecca of the World!

Do they have those little fans at the Chinos in MAdrid? I use my Spanish hand held fans all the time, even when I go to Orlando

I'm with you, Booklady! I used my beautiful Spanish fan in Italy and Greece this summer and caused a run on similar such products that evidently hadn't been noticed at souvenir kiosks!
It makes us look so elegant and mysterious...don't you think?

It wouldn't supprise me if they had the fans at the "Chinos". After all that is where I made some of my best buys including pants for my wife which she loves.
I saw the fans here in North America in the Dollar stores and even at Walmart. I'll bring one next time to use and leave it there as a gift for someone. I would probably attract the wrong kind of attention if I used the traditional spanish fan.