Madrid and its environs are really easy to travel - the buses to the surrounding towns and sites are very convenient. The train terminals (one North, one South) are HUGE, and very artistic and beautiful.
You forgot the Siesta - Spaniards take their afternoon naps seriously - most shops close around 2 and re-open after 4 - the 2 hours are for napping. :)
I gather you may also have visited Valley of the Fallen? and El Escorial? The Basillica of El Escorial is trully impressive. I believe it is an UNESCO World Heritage Site now.