Well, I guess that depends what you like. Madrid is very much like New York, fast paced, big and a lots of people. San Sebastian on the other hand is a smaller city, slower paced and less people.
The weather in Sanse is very different to the weather in Madrid. It rains, that's why everything is green and beautiful and in the outskirts of the city you see cows pacing on the fields. It can be cold in the winter, probably not as cold as Madrid but it'll be cold and wet, which is not a great combination. I see you're from Finland so this may not be that big of an issue for you.
There's plenty of opportunities to have fun in Sanse as well as in Madrid, plenty of discos and night clubs.
The advantage I see in San Sebastian is in the summer if you want to go to the beach you have it right there at your doorstep.
But as I said that depends on what you like to do.
Hope this post helped you somehow...
Chus