I live in Madrid now but used to come for business all the time and always stay a few extra days for fun. So I'd stay in the Westin Plaza (right across from the Prado and the Thyssen) when there for work and then switch to the Best Western - Hotel Atlantico on Gran Via when paying with my own dime. The Hotel Atlantico is clean, well situated and safe. The rooms vary and some can be sparten (at least the beds were comfortable which is all I care about) and others are quite nice, but since Madrid is a fab city you won't want to spend much time in your room!

I've also found NH Hotels to be affordable and quite nice. A little more upscale than the BW's.

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I Love New York -- Viva Espaņa