Amber,
In the Plaza de Cubos, to the right of Plaza de España if you are standing on Princesa facing the Plaza de España, there are numerous independent film houses. There is one between the Dunkin´ Donuts and McDonalds and then if you go down to the lower level, there are several more theaters.
These all show films in VO (versión original). Many films are independent films. If the movie was made in English, you will be able to see it in English with Spanish subtitles.
Oops, I just realized that I gave you what you already know! Sorry about that! Not sure where to find films in Spanish, subtitled in English.