Roe, My parents did that. Go to the american embassy. If you get married in Spain and then she comes to the US, you're going to have to go through the US Embassy or Consulate. Even though its farther away, I'd suggest at least getting your initial information from the Am Embassy, and not the consulate and from there go where they tell you. Dither way, there is no way around it. If you get married here, you'll have to go to the spanish embassy or consulate for your area. And if you do it over there, she'll have to go to the US one in Spain.
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Madrid!