Here are some ideas:

Food/drink category: wine (all prices), saffron, turron (a few dollars each), locally made pastries and cheeses, sausages, (watch out for customs on your way back!)

Ceramics: all prices. Best - and cheaper - to buy what they make locally. Each region has its own style. Madrid sells a lot of ceramics made in Talavera de la Reina. If you can, go there, and tour the factories. Very interesting. If you have a car, go on to the little town of Puente del Arzobispo, where the ceramics are exquisite. I recommend the de las Heras factory there.

Embroidery: Best place for embroidered tablecloths, bread sacks and mantónes (shawls) is the little town of Lagartera (just past Talavera de la Reina also). I bought a stunning huge hand-embroidered mantón there about 8 years ago for 10,000 ptas. Probably a bit more now, but there's a good exchange rate, too. They cost more than double that in Madrid.

Leather goods - look around.

From Toledo, the beautiful gold damascene work (all prices - prices are the same in Madrid as Toledo); swords, knives, etc...

In Madrid, the best places to see what's available are the souvenir deprtments of el Corte Ingles stores (on Castellano, metro Nuevos Ministerios; on Princesa, Metro Argüelles; and Gran Via/Sol, metro Callao or Sol). The shops across the street from the Prado museum also have an extensive selection. The prices are a bit higher than if you buy locally, but you may want to check them out to get an idea of what is available. I feel like I'm forgetting something... but I hope that can get you started.