LHR isn't much of a problem these days, though it does entail a bus ride between T3 and T5 in many cases; it's fairly expeditious, and baggage problems seem to have abated.

MAD is a good connecting airport - T4S-T4 is easy, and IB has three flights daily to ZRH on A320 series a/c. IB Biz transat is perfectly OK, and intraeuropean Biz is basically a slightly wider than MD-80 seat three across with the middle seat blocked and meals/ drinks service, quite tolerable for the 2:15 MAD-ZRH flight. We've used IB from ORD a number of times - and they have often come in significantly under AA's I class fares to boot.