Assuming you are departing and returning to a major US hub airport, round trips to MAD are running $750 to $1500. One ways to MAD and one ways from major European hubs to the US are running $750 to $1500 each way.
So .... are you willing to double the cost of your airfare for the scheduling convenience
or
are you willing to fly obscure airlines at off-peak times and endure long layovers to reduce the overall costs of two one-ways?