I went to a record/vinyl shop called La Metralleta that probably had some alternative stuff (I was mainly looking for Spanish 1960s garage rock) that was in a parking garage. They have a CD-only (I think) store near the FNAC near Puerta del Sol. I am pretty sure the address for this one is Plaza del Angel, 4. You can't miss it once you find the little alleyway to it. It seemed like they had alternative bands cds in the window, and I think they sell both new and used. Hope that helps.