We traveled from Segovia to Madrid this morning by train (uneventful). We arrived at the hotel by taxi at about 11 am but our room was ready for us, so that worked out well. When planning for our stay, we did a lot of research for hotels, mainly looking for good location with a reasonable cost. Since we had limited time in each city , we wanted to be as close to points of interest as possible. In most cities this led us to smaller boutique hotels that were not part of a major chain (Marriott, Hilton, etc.). This has worked out very well for us. As for our Madrid hotel, I have to give Keena all of the credit. This was her recommendation after reading reviews and looking at the location. Well, she hit a homerun on this one! Our location is great, almost everything on our itinerary is within walking distance and highly-rated restaurants are very close and plentiful.
Our hotel, Catalonia las Cortes, was an 18th century palace originally belonging to the Dukes of Noblejas. Many of the furnishings, etc. still remain in the current structure, as well as the original staircase, which is beautiful. In addition to location, the hotel staff is very helpful and they also provide afternoon tea (consisting of sandwiches, soup, salads, coffee, pastries, etc.).
We hit the ground running this morning when we arrived. As usual we like to get out and walk the surrounding neighborhoods and plazas to get a feel for the area and to get our bearings. We visited the Plaza Mayor, which was the original town square. They held bull fights there and it was also the scene of executions by the Spanish inquisition.
There are restaurants everywhere in the vicinity of our hotel. Since it is technically the off-season, they are heavily marketing themselves. Many have representatives outside trying to show you menus or talk about their restaurants and some have display windows with their dishes in them.
Madrid, as with most cities and towns in Spain, is built around plazas (like courtyards with buildings around the square). The Plaza Santa Ana is the closest to our hotel.
We also visited a local market, which has fresh ham, seafood, vegetables, fruit, etc. What was a little different about this market was that around each vendor booth there were small tables to eat. The vendors were cooking and preparing the fresh food for the patrons. So you could buy the food and take it home to prepare it or have it prepared by the vendor and eat in right there.

Here is an example of a prepared food. This one happens to be a sea urchin and you can see stuffed crab to the right.
We also visited the Retiro Park, which is 300 acres. This used to be the private park of the royalty and was opened to the public in the late 18th century.