Thyssen. There are 2 in Madrid - Prado and Thyssen

Both are very famous. However, Thyssen probably has more treasures.

Padro belongs to government, and is considered the same class as the National Gallery in London.

However, Thyssen-Bornemisza probably is THE museum in Madrid. It is from a private collection which every big museum in Europe wanted to have it, but the wife of the collection owner, Baron Hans Heinrich Thyssen - was from Spain, and convinced her hu*****and to give this to Spain.

Give you an example, at Uffizi, Florence, we have seen some very beautiful marble desk with intricate inlaid of semi-precious gemstones - there are 3 or 4 such desks displayed.

At Thyssen, such desks filled at least 5 rooms or more. On top of the symetrical patterns that are very complicated, there are inlaids that are paintings! You have to see it to believe it how much workmanship is involved to make such a painting by gemstones inlaid in marble. There are numerous paintings and art objects in Thyssen.

We were there when it was first open to public in 1993 or 1994 I forgot. We stood inline for like 3 hours to get in.
http://www.museothyssen.org/thyssen_ing/home.html

Finally, Reina Sofia is also famous - it is a modern art museum.