I add one for each...

*One for afterhours: Chocolatería San Ginés (calle Pasadizo de San Ginés, 5 - Metro: Sol)
*One for amusement parks: Parque de Atracciones (Casa de Campo - Metro: Batán)
*One for beer bars: La Fábrica Museo de la Cerveza (calle Génova, 21 - Metro: Alonso Martínez)
*One for bookshops: Casa del Libro (Gran Vía, 29 - Metro: Gran Vía)
*One for breakfasts: Valor (calle Postigo de San Martín, 7 - Metro: Callao)
*One for buildings: Palacio Real (calle Bailén - Metro: Opera)
*One for bullfighting: On horseback (Corrida de rejones on May or June - Metro: Ventas)
*One for cafés: El Espejo (paseo Recoletos, 31 - Metro: Colón)
*One for cakes: Mallorca (calle Serrano, 6 - Metro: Retiro)
*One for casinos: Gran Casino Aranjuez (in Aranjuez, 40 kilometers far)
*One for churches: San Francisco el Grande (plaza de San Francisco, 1 - Metro: Puerta de Toledo)
*One for city tours: (www.euroadventures.net)
*One for daytrips: Toledo by train (from Puerta de Atocha station - Metro: Atocha Renfe)
*One for discos: Kapital (calle Atocha, 125 - Metro: Atocha)
*One for flamenco show: Corral de la Morería (calle Morería, 17 - Metro: Opera)
*One for fountains: Cibeles (Metro: Banco)
*One for freak monuments: El Angel Caído (Parque del Retiro) - The only public statue around the world dedicated to the Devil.
*One for guides: Maribel's Guide to Madrid (www.maribelguides.com)
*One for hotels (deluxe): ME Reina Victoria (plaza de Santa Ana 14)
*One for hotels (medium): Hotel El Prado (calle del Prado, 11 - Metro: Antón Martín)
*One for hotels (inexpensive) Hostal Cruz Sol (plaza de Santa Cruz, 6 - Metro: Sol)
*One for ice creams: Giangrossi (calle Alberto Aguilera, 1 - Metro: San Bernardo)
*One for interethnic quarters: Lavapiés - Metro: Lavapiés)
*One for jamón ibérico: Los Hierros (calle Quintana, 17 - Metro: Argüelles)
*One for jazz clubs: Café Central (plaza del Angel, 10 - Metro: Antón Martín)
*One for kids: Faunia (av. Comunidades, 28 - Metro: Valdebernardo)
*One for nightlife: Plaza de Santa Ana area (Metro: Antón Martín)
*One for parks: El Retiro (Metro: Retiro)
*One for restaurants (basque cooking): Casa Matías (calle San Leonardo, 12 - Metro: Plaza de España)
*One for restaurants (fast food): Rodilla (plaza de Callao - Metro: Callao)
*One for restaurants (paella): Paella de la Reina (calle de la Reina, 39 - Metro: Banco)
*One for restaurants (seafood): Casa Rafa (calle Narváez, 68 - Metro: Ibiza)
*One for restaurants (spanish home cooking but paella): Casa Marta (calle Santa Clara, 10 - Metro: Opera)
*One for shopping (department stores): El Corte Inglés (Metro: Sol, Callao, Argüelles, Goya or Nuevos Ministerios)
*One for shopping (fashion for girls): calle Princesa (Metro: Argüelles or Moncloa)
*One for shopping (flea market): El Rastro (Metro: La Latina or Tirso de Molina)
*One for shopping (luxury shopping): barrio de Salamanca (Metro: Serrano or Lista)
*One for sightseeing: Teleférico (Paseo de Rosales - Metro: Argüelles)
*One for small museums: Convento de las Descalzas Reales (plaza de las Descalzas - Metro: Sol)
*One for soccer supporters: Estadio Santiago Bernabéu (Metro: Santiago Bernabéu)
*One for souvenirs: El Arco de Cuchilleros (plaza Mayor, 9 - Metro: Sol)
*One for spas: Medina Mayrit (calle Atocha, 14 - Metro: Tirso de Molina)
*One for squares: Plaza Mayor (Metro: Sol)
*One for statues: Don Quijote y Sancho Panza (gardens of plaza de España - Metro: Plaza de España)
*One for swimming pools (open air): Canal de Isabel II (avenida Filipinas, 54 - Metro: Ríos Rosas or Canal)
*One for tapas bars: Juana la Loca (plaza Puerta de Moros, 4 - Metro: La Latina) Try tortilla here!
*One for tea rooms: Living in London (calle Santa Engracia, 4 - Metro: Alonso Martínez)
*One for terrace bars: Cafetería Burger (plaza de Chueca, 1 - Metro Chueca)
*One for the paintings of Museo del Prado: Las Meninas by Velázquez
*One for the paintings of Museo Reina Sofía: Guernica by Picasso
*One for transportation: Metrobús ticket (10 trip ticket valid for both the Metro and buses for 6,40 euros)
*One for walking: along Paseo del Prado-Recoletos-La Castellana.