Madrid...great place to kick off. But I'd save it for last.
I don't know what kind of trip this is, if you are with friends or girlfriend (or maybe both). but Madrid is sure a "the place" if you are in the mood to enjoy the night life. Everything starts there at around 11pm, so that should give you an idea of when it does actually finish?
.There are many things to do there. I wouldn't visit any museums though, I don't have nothing against art, but I think it's pretty fucking stupid to waste a whole day if you are gonna stay just a few dates. You'll miss the action.-
Ok, make sure you have a nice walk thru "Gran V?a". This is one of the most beautiful streets in Madrid. Lots of things to do there. Also you could try "La puerta del Sol" and its surroundings (if you have time, go see La Plaza Mayor & Madrid de los Austrias) Then we have Castellana (pretty much Madrid's business area) and Serrano/Ortega Gasset (Madrid's "Rodeo Drive").?
Bars and restaurants are everywhere in Madrid. Very spread out though. Try the streets " Principe de Vergara", "Santa Engracia","Maria de Molina.." you should have your share of fun there.
If you are in for a more avant-garde, bohemian area, try "Chueca".
If you want to go to a more alternative sort of place, try "Malasa?a".- Plenty of bars there as well, mainly rock music. Younger audience though.
Food? Try "tapas". THey ae very small portions of food, order 3 or 4 so you can taste different dishes. Try " Callos a la madrile?a" , " ensaladilla rusa", "boquerones en vinagre" ," patatas bravas..." you will like them all.
Well, that's a plan right there. Don't waste your time going to museums. Really, you want to have a taste of the city. The only way of doing so is by going out. Talk to people...madrilians are nice?
I live in Marbella though, can't meet up. But have fun!