I was in Barcelona and Madrid in March/April and found nothing to be "afraid" of in either city. I can't imagine it to be different during Xmas.
If you are a NYC person, you will find Madrid to be no different than any big city. Don't flash your money, don't carry anything of extreme value on you. Meaning, if you were to get pickpocket you won't cry over it.
The city is alive after dark. That's the best time to go out and eat, drink and be merry! Both cities you can't find a restaurant that doesn't open up until 8 pm at the earliest, and the city stays alive until well past midnight... even til 2 am!
When you go to the more tourist area like Las Ramblas in Barca, or Sol in Madrid, just keep your stuff in front and your eyes everywhere! Have a great time... and have a cup of Chocolate y churros!