My favorite is El Asador Real - I think their cochinillo is very nice though I find portions to be small.
http://www.asadorreal.com/carta.htm
I really like El Museo de Jamon
http://www.museodeljamon.es/
they have really nice appetizers (and main dishes); try the fried bits of ham (dont remember the name but it is something with cielo); my favorite museo de jamon is around the Plaza Mayor