Madrid

Actually, the walking tours listed in Rick's books are pretty good. The maps are a bit hokey but understandable, and they give you a good overview of the city. He also lists several "self-guided" tours of places like the royal palace and important museums...museum ones can be outdated by changes in layout, but they give you a good idea of what to look for.
There is a good hop-on, hop-off bus circuit in Madrid, but it's 16 Euro pp....not a cheap way to get around, with buses and the Metro at 1 Euro, and taxis very inexpensive.

I recommend Hotel Europa. We stayed there this past Sept. It has an excellent location, on Peurta del Sol. You are in walking distance of Plaza Mayor and the palace. There is a metro stop there and the hop on hop off bus stops there. They have a website, www.hoteleuropa.net, if you'd like to check it out. The Prado museum is fabulous. The Goyas are worth a visit to the museum, even if you see nothing else in the museum.

I’ll recommend the highly-rated and inexpensive Hostal Acapulco in Plaza del Carmen…check it out on tripadvisor. The self-guided tours in Rick’s book are good for an overview, and nothing is more than 15-20 minutes from Puerta del Sol. Norm’s suggestion regarding the Madrid Vision bus tour is a great one, especially if you’re short on time...relatively inexpensive for a drive by of all the sites.

We will second the Hotel Europa. We have stayed there three times in the past ten years, most recently a year ago New Years. We especially like the front rooms with French balconies overlooking the pedestrian mall/street in front of the hotel. Can be a little noisy so if noise bothers you ask for one of the rooms in back. We love watching the street action.