Whenever I fly to Madrid I land in the early morning and head straight to Hotel Plaza Mayor. I really love this hotel. It's not too fancy but it's clean and nice enough, super central, there's a decent continental breakfast and the folks that work there are really nice.
AC Santo Mauro near Retiro Park is a beautiful 19th century hotel that I also really love.
Here's my Madrid day-one ritual -- I drop my bags off at Hotel Plaza Mayor, then I head to Mercado de San Miguel just across the street for coffee and juice, then when La Bola opens I head there for a big classic Spanish meal of Cocido Madrileño. After that, I go back to the hotel and nap until it's dark and after that I'm out on the town and the bulls are running.
Mercado de San Miguel, near Plaza Mayor, is my favorite spot for a late breakfast because you can get a great espresso, maybe a little hair of the dog, choose all kinds of tasty prepared foods from the 20 or so stalls and it's never too crowded.
Portobello, as in beautiful port and not the mushroom, is an awesome seafood spot that's a little out of the heart of it so take a cab and plan a long late lunch there. Get the lobster paella, salt bream and the steak cooked at the table. And be sure to get some of their housemade apricot desert cordial. They soak apricots in a really nice grappa for nine months for it and it's delicious. When we went to Spain for the cookbook in fall of 2012 this cordial saved us after a really late and a bit overserved night. We were pretty rough around the edges until we had it.
Sobrino de Botín's claim to fame is that it's the oldest restaurant in the world -- open since 1725. Some people think that it's a tourist trap but I disagree. Respect your elders! Only go here if you're up for ordering at least half a roasted suckling pig. There's something magical that happens to an oven that pork is cooked in for that long, for that many years. You hear the same thing about old smokehouses and it's true. The flavor that's imbued from years and years of cooking just can't be recreated. So special. The garlic soup is really tasty here too. And, I forget the name of the place but there's a pretty good cider bar right across the street.
There are a few De María restaurants around Madrid and the one that I like to go to is near El Junco. Go for the grilled sweetbreads. There's nothing else that's all that special here but stop in and get an ice cold Estrella and a plate of the sweetbreads and everything will feel right in the world.
Tania and Eduardo are a Spanish couple with a daughter who goes to my daughter Ruby's school and plays soccer with her. We've become friends over the years -- mostly from hanging out around the soccer field when the girls have games. La Bola Taberna is Tania's family's favorite and she grew up on cocido, particularly La Bola's. The last time we ate here we ran into Tania's cousin! Go for a late lunch and get the cocido. Best I've ever had.
Almendro 13 is a super tasty working man's place. It's real Spanish, eat-everyday food. It's also in a beautiful neighborhood and it's right by a school with a pretty courtyard that the kids are often playing in. Be sure to walk there or walk around after your meal for that nice slice of Madrid life.
Another favorite spot is Taberna Laredo in the banking district. This is Leslie and Manuel Recio's, of Viridian Farms, favorite spot in Madrid. It's a more modern take on all the same dishes that Almendro 13 serves -- so it's classics refined a bit.
Ten Con Ten Restaurante & Bar is a hip and dressy spot where you go to see beautiful Spanish people and eat great food. Get the sea urchin pasta. And know that if you order SHOTS of Fernet-Branca at the end of your meal you'll get enormous goblets of it.
Go to the tiny, hip, basement jazz bar El Junco. It's a lot of fun, sometimes a little bit too much fun. Just know that if you order a gin and tonic it's the equivalent of a triple here.
The Madrid bathhouse Hammam Al Andalus is a must. This is one of the oldest Turkish bathhouses in Europe. There's nothing like it in the US and it's one of the most magical things I've done in my life.