I love this whole paseo (street) - obviously the Prado is a must (love Las Meninas!), Correos, the Banco de España, Cibeles, if you wander into the beautiful Retiro park from here as well, it'll be your whole morning.
Mercado de San Miguel
Grab a smorgasbord of tapas and pastries for lunch here - a sampling of Madrid's best!
Chocolatería San Gines
Afterwards, treat yourself to world-famous churros & chocolate - this is not to be missed!
Restaurante Botín
Have dinner at the world's oldest restaurant. Hemingway was a big fan - Botín is mentioned in "Death in the Afternoon".
Plaza Mayor
A fun stop in the early evening - stroll through the artists' kiosks and take in the live music.