Absolutely right, Puna. Even though it could get chilly, I LOVE Madrid in December. It is just an entirely different atmosphere.
And long periods of uninterrupted rain are still not typical for Madrid.
Compared to Northern Europe or the Northern part of the United States (as for the US, I can just speak for the North East coast), for my taste the weather in Madrid as well as in Southern Spain is still substantially better in winter. Just be prepared not to expect summer. As long as you bring warmer clothes and have heating in the hotels, you will be fine.