I always compare El Corte Ingles to FNAC and more often than not, I find FNAC less expensive. The best prices overall that I find are at a place called Tipo-Rosa Negra on Calle de la Montera and Calle de San Alberto, but that's mostly Rock music. The Rosa Negra is at Plaza del Carmen.

Happy music hunting! It's one of my favorite things to do in Madrid believe it or not.