Fantastic Location!
We just spent three nights (C&P) at the Palace. The location is great for a tourist. Across the street from two museums - the Prado and the Thyssen-Bornemisza. Walking distance to everything! Puerto del Sol, Plaza Major, even the Royal Palace. (BTW, don't ask the taxi driver to take you to the Palace (Royal), when you are staying at the Palace - they are understandably confused :-)
We had a wonderful Jr Suite (LTG) upgrade. A bottle of wine and personal note from the GM!
Some folks have complained that C&P cost went up, but when it did the Palace opened up the entire week we planned to visit. We jumped and I am glad I did.
This is the place to stay if you want to visit Madrid.