MadridMan, in Madrid there is the HUSA Princesa
, a 5 star hotel has a beautiful indoor swimming pool. The Hotel provides you with these lovely Turkish towels & Robe just to use when you go to the swimming pool, which is very plush! The Princesa is within walking distance to the Royal Palace, the Plaza de España, and the Plaza Mayor.
I used the ww.bancotel.es hotel vouchers and stayed there New Year's Eve on 2001 and New year's day 2002! Right when the peseta changed to Euros!
It is truly one of the finest hotels I have stayed in, and would recommend it. They also have a Gym and the El Corte Ingles is on the hotel property!