flying in/out of Spain

It could be ok because Continental and Lufthansa are Star Alliance partners. If you get tickets on airlines that are not partners, would be more expensive.

The best airport is the one that best fits your schedule. The differences between airports are not that great. It is just depends on who flies there and service levels. Some airports are more crowd at different times but match you schedule. There is no advantage to flying with the same airline or the same airport. It is very rare for us to do a round trip at the same airport. All of our flights are into one airport and home from another. Why waste time and money backtracking to your original airport? It is never cheaper when you add in the time and money to returned to your original airport.

You can certainly fly into one airport and out of another, called open jaw. I think from what you are asking about same airline into one city and another airline out of another, that would probably mean a one way ticket on say AA and another one way ticket on say USAIR home and one way ticket prices are through the roof. We flew into Barcelona and out of Madrid on Continental and no problems.

I am flying from US City 1 to European City 1 on Continental, and back from European City 2 to US City 2 on Lufthansa, in the fall, and it was not more expensive than alternative involving just one US city. In fact, it was one of the cheapest routings I found.

Madrid and Barcelona both have large airports well-served by numerous major airlines. Barcelona is off at one 'edge" of Spain while Madrid is more in the center. There are other airports at cities such as Sevilla, Granada, etc. but often reaching these requires a transfer at Madrid or Barcelona. these others are useful for internal flights within Spain if you are doing a leg of your trip not well-served by train (such as Barcelona to Granada.) If you are doing a "typical" visit that includes Barcelona, Madrid, and either Andalucia or the west (San Sebastian, Bilbao etc.) then you can minimize backtracking by flying into Barcelona and out of Madrid (or the reverse). You can easily travel between these two, and between Madrid and Sevilla, by fast AVE train.