I've just spent a week in Madrid, and I'd like to mention one special place that we found. It is a remarkable gelateria called bajocero, and it is in a somewhat out of the way place.
What makes it remarkable is that, in addition to the wonderful ice cream, bajocero makes other cold desserts, like mousses, that are works of art to look at and delicious to eat. I have been in comparable places in Zurich and Paris, but they were much more expensive than bajocero (and no better).
Their out of the way location is just at the north end of the Quevedo metro stop (on the west side of the street). Their actual address is Glorieta de Quevedo No 6. We were going to a nearby theater and had to kill some time, lucky for us. But this area is a bit outside the main tourist spots, so visitors are not likely to stumble across it.
Otherwise, we ate at unremarkable places convenient to the museums, except that we managed a couple of traditional Madrid places, Botin and La Bola. We thought it was fun to eat at each of them--once. La Bola, in particular, is a quite beautiful old place and the staff is friendly. Families with kids and celebrities (once glitzy group, at least, clustered around a guy who must have been a big-time athlete) all pack in to the place together and have a good time, just like the tourists.
I should not forget to mention that bajocero has a web site, www.bajocero.es, where you can get an idea of the aesthetic behind the place, even if you can't read the Spanish. I have the impression that they are setting up to franchise, and I wish them well. I'd sure like to see one here in Vancouver.