My wife and I are going with another couple to Madrid this September and looking for things to do. Heard that a Flamenco show was fun (albeit a little touristy). Interested in any day trips, wine-tasting, restaurants, best neighborhoods to stay... etc. We usually enjoy the not-as-touristy style of travel.
OMG, there are too many interesting and relaxing things to do in Madrid!! I would start to recommend a walk by La Gran Via, Plaza Mayor, Puerta del Sol enjoy some churros at Chocolateria San Gines or a flamenco show at Tablao Villa Rosa. Do not forget to visit Parque del Retiro, Mercado de San AntónPlaza de Oriente, Royal Palace of Madrid , Templo de Debodand if you have time plan a visit to Toledo. It will be a 1 day tour and you wont regret it as it will take you back in time (if you like castles, roman catholic churches, mosques, etc., you will love Toledo).Take the train at Estación de Atocha, (it is pretty close to La Gran Via).
I will also recommend MUSEO NACIONAL DEL PRADO and Museo Nacional Centro de Arte Reina Sofía, among others. There are many attractions alongside the promenade of La Gran Via, bars, restaurants, and beautiful buildings to admire such as Palacio de Comunicaciones, Fuente de La Cibeles Puerta de Alcalá and Puerta de Toledo, etc.
A few restaurants that I recommend are as follows: Restaurante La Alhambra, Ginos, Paralelo Cero, Casa Lucio,Restaurante Palacio de Cibeles Mercado de la Reina, 100 Montaditos.Madrid is one of my favorite cities in the world!! Enjoy it!!
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You should definitely plan a day trip to Segovia, and plan to have a wonderful meal at “Restaurante José María” — this was one of the very best meals we enjoyed in Spain, and we had a lot of wonderful food.
In Madrid be sure to go to the Museo Thyssen-Bornemisza as well as the Museo Nacional del Prado. These two excellent art museums are within blocks of each other. Be sure to walk around the lovely neighborhoods adjacent to the Prado, and go to Retiro Park, also in that same neighborhood.
There is an excellent little Italian restaurant just about two doors down from the entrance to that park, on the way to the two museums. Quarteto Rossini
We took the double decker bus tour and found that a bit boring.
We loved the Mercado de San Miguel and went there twice to graze the foods in the various stalls there.
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Try Tablao Flamenco Cafetín La Quimera for non touristy, amazing flamenco and great food! It's a bit off the tourist trail but well worth the effort. you can get nearby on the metro too!