There's a train stuck in a collapsed tunnel near Somosierra, it's about an hour walk and it's pretty cool.

If you're into urbexy stuff there's lots of abandoned buildings dotted around.

There's also Sad Hill cemetery where the final scene of the good the bad and the ugly was filmed.

For stuff in Madrid itself, there's a couple of next level bars, they gave loads of arcade machines that are free to play.

Not sure what you're into though