almohada, if you are looking for futones, then go to Futonia . They have a shop near to Atocha at Echegaray street. They also have a bigger shop at Plaza del Conde Valle de Suchil near to San Bernardo subway stop. I guess this shop must be quite expensive as futones are "exotic" things here in Spain.
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Hostal Chelo at http://www.chelo.com