Leche is right. Near Gran Via there are many record shops. At "Tres Cruces" street, there are 5 of them.

CD King is just opposite my hostel. I think they have a website but I can't find it.

Another one I've seen it's called "Killer's" and it's at Montera, 28.

Regards,

Antonio
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The best tips from your favourite hostal in Madrid.
Hostal Chelo at http://www.chelo.com