Here is what Rick Steves recommends in Madrid. You can use this list as a starting point and decide what interests you. You can also watch the RS show on Madrid, available under the Watch section of the link below:
https://www.ricksteves.com/europe/spain/madrid
▲▲▲ Royal Palace Spain's sumptuous, lavishly furnished national palace.
▲▲▲ Prado Museum One of the world's great museums, loaded with masterpieces by Diego Velázquez, Francisco de Goya, El Greco, Hieronymus Bosch, Albrecht Dürer, and more.
▲▲▲ Centro de Arte Reina Sofía Modern-art museum featuring Picasso's epic masterpiece Guernica.
▲▲▲ Paseo Evening stroll among the Madrileños.
▲▲ Puerta del Sol Madrid's lively central square.
▲▲ Thyssen-Bornemisza Museum A great complement to the Prado, with lesser-known yet still impressive works and an especially good Impressionist collection.
▲▲ National Archaeological Museum Traces the history of Iberia through artifacts.
▲▲ Flamenco Captivating music and dance performances, at various venues throughout the city.
▲▲ Plaza Mayor Historic cobbled square.
▲▲ Sorolla Museum Delightful, intimate collection of portraits and landscapes by Spanish artist Joaquín Sorolla.
▲ Bullfight Spain's controversial pastime.
▲ Retiro Park Festive green escape from the city, with rental rowboats and great people-watching.
▲ Royal Botanical Garden A relaxing museum of plants, with specimens from around the world.
▲ Naval Museum Seafaring history of a country famous for its Armada.
▲ Museum of the Americas Pre-Columbian and colonial artifacts from the New World.
▲ Clothing Museum A clothes look at the 18th–21st centuries.
▲ Hermitage of San Antonio de la Florida Church with Goya's tomb, plus frescoes by the artist.
▲ El Rastro Europe's biggest flea market, filled with bargains and pickpockets.
▲ Zarzuela Madrid's delightful light opera.