I have been on a quest, to find the best, and I did today ...
If you are in Madrid, RUN to Mercado La Paz in the Salamanca neighborhood, and find the lovely little stall selling the most delicious, authentic, creamy/crunchy, flavorful croquetas in Madrid! The stall is called Le Croquette. You can buy them fried to go, fresh to fry at home, or have the owner fry them while you sit at a small table with a glass of wine. I tried every flavor - some twice.
The shrimp croquetas (gambas) are amazing! He had crab, jamon, chorizo, bacalao, a variety of cheese croquettes as well - all made from scratch with simple, delicious ingredients, perfectly fried crispy on the outside, creamy on the inside, happy little pockets of Spain.
Around the corner from his stall, you will find the best tortilla espanola in Madrid. They also sell whole roasted chickens that are very well seasoned and cooked. Ask the Le Croquette owner where it is and he will point it out. You can make a full meal at Mercado La Paz and pack a picnic too.
I found my happy eating place in Mercado La Paz (SO, SO much better and more authentic than Mercado San Miguel)!