I love this whole paseo (street) - obviously the Prado is a must (love Las Meninas!), Correos, the Banco de España, Cibeles, if you wander into the beautiful Retiro park from here as well, it'll be your whole morning.
Mercado de San Miguel
Grab a smorgasbord of tapas and pastries for lunch here - a sampling of Madrid's best!
Chocolatería San Gines
Afterwards, treat yourself to world-famous churros & chocolate - this is not to be missed!
Have dinner at the world's oldest restaurant. Hemingway was a big fan - Botín is mentioned in "Death in the Afternoon".
A fun stop in the early evening - stroll through the artists' kiosks and take in the live music.