One of my favorite places in Madrid that I wish we had had more time to hang out in is Plaza Mayor. Surrouned by restaraunts, cafes, and street performers it captures what plazas in Spain are all about.
I enjoyed the entrances being a little askew.
According to our guide there is a new trend in Europe which involves putting padlocks on public features to mark significant events like a first date, proposal, whaterver. Several of the light posts in Plaza Mayor had several locks.
Adventuring in Europe 