Spain's capital exceeds most travelers' expectations and is buzzing, regal, and steeped in history—and yet still oddly underrated among Europe's capitals. Finding the best things to do in Madrid is easy for sightseeing enthusiasts, with tours of heavyweights like its Royal Palace, Plaza Mayor, world-famous Prado, and other art museums here in force. Those wanting to explore in different ways can cycle verdant Retiro park, watch flamenco shows, sample tapas and wines on tasting tours, and head outside the city on day trips to the El Escorial monastery-palace, Avila, Salamanca, Toledo, and Segovia.