I agree with JJP. As some of you may have read my write-up of the Parador de Tordesillas in the " paradors " thread, it's about 2 hours from Madrid - maybe a little far for you- but very very affordable at about $55/night (mid-week) and in a beautiful, old, Spanish hacienda. It was very romantic... Wow. (mind-blowing) (wink! wink!) :p (panting) Hahahaa... And it was outside the small village of Tordesillas along the Duero River in Castilla.

I'd say, of all those close-to-Madrid paradors I listed above, the closest is the one in Chinchon and it's very NICE.

Saludos, MadridMan