leisure itinerary in Madrid

Segovia...impressive aqueducts..roast suckling pig--famously tender so that one restaurant after cutting the pig with a ceramic plate, smashes the plate.
Less than 2 hours from Madrid.
Valencia, closer than you might think by fast train, called the AVE..about 2 hours.

Your kids may enjoy touring the Bernabeu Soccer Stadium which includes the stadium and the trophy rooms. It is very interesting if you like soccer. The Retiro Park has an artificial lake with small Rowboats for rental. Chocolateria San Gines near Plaza Mayor sells the best Churros and hot chocolate. If you are going in the summer you may just want to try the Churros.

I have no specific suggestions for teen/tween boys, but here are some side trips from Madrid that are attractive for wandering; you can ignore their museums.

• Segovia (already mentioned; aqueduct is a serious "Wow", and architecture is interesting, too)
• Toledo (easily accesible by bus or train, very atmospheric away from the stretch to the cathedral)
• Cuenca (hanging houses built on edge of a ravine, about halfway to Valencia on the fast-train line)
• Avila (impressive wall though you can only walk two segments of it; doesn't need a full day)

All these cities seem to be popular weekend destinations for folks from Madrid, and I think you'd find them more pleasant to visit on a non-holiday weekday.

Madrid is a curious choice given you don't care for museums or palaces, and you'd like the beach.
I'd add Salamanca to the above suggestions of Toledo, Segovia, Avila and Cuenca.

If it is a nice day you could spend it at the Royal Palace of La Granja de San Ildefonso near Segovia, the Spanish Versailles.

Without knowing where you're arriving from and where you're going to it's harder to give good advice. Must you start and end those 5 days in Madrid? Are you flying into Madrid or arriving by train? Morning or evening? Can you go straight to somewhere else and then end up in Madrid? Madrid is in the middle of the country, so it's a long ride to the Mediterranean (not the ocean, unless you go to Cadiz) - too far for a day trip. The day trips from Madrid are all inland and don't have a lot of "fun stuff" for youngsters.

Barcelona - 2.5-3 hour train ride. Lot of beaches, activities for kids
Valencia - less than 2 hour train ride. Beaches, maybe activites for the kids
Malaga - 2.5-3 hour train ride. Beaches, maybe activites for the kids

In Madrid, the boys may enjoy the Naval Museum - lots of exhibits about the golden age of exploration (Columbus etc). Take passports to get in.

Thanks for all the replies. We are flying into Madrid from Lisbon in the morning and going back to US after 5 days. Brought the ticket thinking that Madrid is in the middle of everything. I personally would love to just go see a bullfighting, flamenco dance, a soccer game etc but its a tough sell for the kids.

I'll second the suggestion for Valencia. It is a great city to just relax and chill out. Among the activities for your children are the beach and the best aquarium in Spain (some say the best in Europe) at the Cuidad des Artes y Ciencias. It is only a 90 minute AVE train ride from Madrid.

Peter, as mentioned, it would be good to know the dates you are in Madrid.
For example, there is no soccer until Sept. (Eurocup and Olympics this summer).
Bullfights. We they just ended in Madrid. But at the end of June you could go to Burgos for the fiestas and the bullfights. In July and August they are bullfights in a lot of different cities.

Flamenco you're going to want to go South. And if you do a Fado show in Portugal, you could probably skip the flamenco. (This time)
Also the dates are important for the weather. There might be something nice to see or do, but if it's going to be pushing 100, probably not worth it with the boys in tow.

We will be in Madrid from Jun 30 to Jul 5. We are open to fly to different city (Barcelona) if that saves time/hassle.

I would fly to Barcelona and spend as much time as possible there. Then take the train to Madrid for 1-2 nights (2 nights if you want to spend time seeing a little of Madrid) before your flight.

I'm not a side trip person, especially from a big city. For me cities are the most expensive places to stay so I'd rather stay elsewhere unless I'm planning on seeing the city.

My best of the area starts with Toledo. It's easy to get to by train, bus or car and is essentially the "old center" of Madrid. Most capitals have an historic center. Madrid doesn't because it's a new city. Toledo was the old capital.

Going to the northwest, Avila is worth a short stop to view the wall and Segovia, as mentioned, has a lot to see and do within walking distance (the Templar church is just outside of walking distance). Further out, requiring more time is Zamora, Salamanca, Valladolid and eventually Burgos and Leon. There are three great castles around Valladolid (La Mota, Penafiel, and Coca).

To the southeast is Aranjuez (a smaller, less well known, version of El Escorial) and further is Cuenca. I wasn't as impressed with Consuegra, I'd say it's okay - not much better.

To the northeast is Pamplona - again just okay - and Olite. The castle in Olite is one of my favorites anywhere. It strikes a great balance between restored and ruin so that most places are safe to explore and/or climb. Further up the road is San Sebastian/Donostia. It's a great town, but I'd save it for high summer months. It's a beach town and not as enjoyable during spring, fall or winter. A train to Zaragosa will get you started. I loved Semana Santa in Zaragosa, otherwise it's a good short stop to see the center.