Regarding cheaper lodgings, you might consider Hostal Aresol , JUST off the Puerta del Sol. I spent one night there, liked it just fine, and it's gotten plenty of good reviews too. It's also very near the popular Palacio Gaviria & Joy Eslava discos.

Right on the Puerta del Sol is the lesser-expensive (similar to Hotel Plaza Mayor ) but equally popular is the Hotel Europa . I've heard it described as "Funky" but not in a bad way - I don't think. hehehee.. Some friends of mine stayed there a few nights and they liked it just fine.

Regarding English-language "What's On" publications would include "In Madrid" but there aren't many of these kinds of publications available in English.

Good luck and have a GREAT time! Saludos, MadridMan