what to do in Madrid?

Carry your walking shoes!!! Walk and see the city. One of my favorite places to visit. Following are some suggestions - and I am sure others will have even better suggestions.. Park Retiro - Great open spaces in which to walk and see people and the scenes of Madrid. Lots of benches on which to rest, and some restaurants available for a bite of food or a drink as well. A great place to relax and hang free. The Prado - A great museum, go early and stay a long time. Be sure to go to the upstairs to see the Cloister dating from way back when. Exhibits travel from time to time, and the line can be long. Good cafe in the main entrance area to have a bite or drink as well. The Renia Sofia and the Thyessium (spelling?) are good as well, close by, but not as large. The Atocha Train Station- Marvelous with its tropical garden for a lobby...and take the AVE train 1/2 hour ride to Toledo, spend at least one night, maybe two there. Hostal Posada De Manolo is a great choice -- good location near the Cathederal and a great breakfast overlooking the Cathederal as well. The Royal Palace -- Great, as is the Cathedral Alumeda next door. It is not considered to be a great cathedral for various reasons by the locals, but the windows and art work on the walls are worth seeing. The Royal Armory - Also on the Palace Grounds - in a separate building, and often overlooked. A definite must see. The Plaza Mayor - History surrounds you. Puerta del Sol - Door of the Sun..center of the city. Calle Cervantes - restored and home of Cervantes, even though the book was written in Sevilla. Calle Funerceral and Calle Hortenzelia -funky area for restaurants and shopping..The Gay area of the city, but accomodating to all. Suggest you get a copy of Moon Guide To Spain -- an excellent resourse book.
Enjoy the trip!!

HJ has some excellent suggestions. I would add possible day trips to Segovia and El Escorial. Also, consider the Plaza Santa Ana area for an evening stroll. In fact, that area is quite a nice area to stay in as wel. Very centrally located and lively even though like my wife and me you are not that into nightlife.

A side trip to TOLEDO is a must! Don't miss it.

Three things not mentioned: 1. Get a guidebook and research the things YOU like to do. 2. Daytrip to Toledo. One of the most charming cities in Spain and even worth at least an overnight. But it is a convienent daytrip too.
3. Have lunch at the old market just off Plaza Mayor. I forget the name but it's close by. Restored and now is a combo food market and tapas paradise. Sort of like a fancy reception strolling about tasting yummy things and drinking wine or beer.

In addition to all of the art suggestions (you could spend a week just doing that), I'd also suggest a day trip to Toledo, one of my favorites of a 3 week trip to Spain. And just because I still dream about these two places, I'd suggest: gambas al ajillo (garlic shrimp) at La Cas del Abuelo (Calle Victoria 12) and churros con chocolate at Chocolateria San Gines (Pasadizo de San Gines, near Puerta del Sol)

Eat ham. OMG. The ham in Spain!!!!! That is, of course, in addition to the excellent suggestions that have already been posted! EAT. HAM. http://www.museodeljamon.es/ http://landlopers.com/2010/05/05/drooling-at-the-altar-of-spanish-ham/ http://www.renttopapartments.com/blog/spanish-ham-delicious-ingredient http://en.wikipedia.org/wiki/Jam%C3%B3n_ib%C3%A9rico http://en.wikipedia.org/wiki/Jam%C3%B3n_serrano

The restored market that Douglas was referring to is the Mercado San Miguel. It is definitely worth taking a look at, although IMO ridiculously expensive. You can get great tapas down in Calle Cava Baja for much less, and cheaper fruit across the street at the Dia % convenience store. A couple of other dining recommendations, both within a few blocks of Plaza Mayor: Casa Gallega at Calle Bordadores 11 for foods of Gallicia. This was our splurge dinner in Madrid but so worth it, very good food and attentive service, they have menus in english and probably speak english too. Yes, they accommodate tourists (but not only tourists) so don't let that put you off! The other place is called Bar Pasablanca at C/ la Pasa 4 (between C/ Mayor and C/ de Segovia), a tiny unassuming place on a "street" that is more like a pedestrian alley. The menu del dia was very good, and if you understand spanish the chef/waiter will describe each dish for you with obvious pride, he puts a modern spin on classic dishes. Things to do and see: I agree with the recommendations so far, will add the Botanic Garden. Walk through the grape arbor under the different varieties of wine grapes.

Just came back from Spain - first night in Madrid my husband and I went on a tapas tour. We met new friends and learned a bit about the enjoyment of the tapas and drink.

Another good restaurant recommendation - Italian, with a Spanish twist..and very good - Garbo
Plaza del Carmen 4, 28013 Madrid About one block off Gran Via near the Telephonico Building. Good food and service. Lunch or dinner with white tablecloths, etc., but not too expensive And also, a fantastic place to meet the locals... Hello, Lola, bar on San Mateo 28, Madrid, a couple of blocks off Calle Funercaral...they are a meeting place of Spanish Speakers and English Speakers on some nights, professional people, etc., who want to speak English...a great introuduction to the city, and something I have enjoyed.

The Segway tour with Madsegs was loads of fun.

Churros for breakfast. Hot churros, fresh from the deep fryer, dipped in a cup of warm chocolate pudding. Throw caution to the winds and ignore any health concerns - you will not pass this way again (at least not often enough to shorten your lifespan). I recommend Churro Maestro, in Rick's book and not far from the Plaza Mayor. Don't miss this.

Forgot to mention, the madridman.com site is a good resource and the RS guide is highly recommended. I concur with Toledo as well, did not mention only because original responder did. I understand the appeal of staying in one place the entire time.. that said, consider a couple of nights in Seville - only a few hours on the train. Trouble with that suggestion though is, why not throw in Granada for the Alhambra. Pretty soon you are down to five nights in Madrid, which is a five night city on its own, without counting the day trips. There is so, so much to do in Spain you really cannot go wrong. And Madrid is an excellent choice.