Here are some additional suggestions for tours or relaxing activities should you find yourself in Madrid for longer than the 4-5 days I recommended earlier.
From Atocha, you can catch a morning train to spend the day in Escorial or Toledo. Both less than 45 minutes away, Toledo and Escorial are both charming in their own respects. I find Toledo to be especially beautiful though.
If you would prefer to relax without leaving the marvelous sights and sounds of Madrid, why not spend the day taking some sun on the terrace of the “Oscar Hotel” in Plaza Vazquez de Mella 12. From theopen-air rooftop pool, enjoy breathtaking views of the whole city. Don’tforget to catch the splendid sunset too! The price for a half day (from 15.30 to 18.30) is 20 euros and is absolutely worth it. The hotel provides towels, and lounge chairs. There is even a bar; ideal for a drink at sunset. Just remember to call and book a reservation!