Cheap and delicious sandwiches at Plaza Mayor
Plaza Mayor has been around in its current state since 1790 and has eversince been spot for many important events like bullfights, soccer games and public executions during the Spanish Inquisition. In other words, its historical significance and architectural specialty has lead it to become one of Madrid's most important tourist spots -- which means anything in or around the plaza is priced double (if not triple). Except this one little bar right outside the plaza (but stuck to it) called Casa Rua (Calle C/ Ciudad Rodrigo, 3).
Here you will get "bocadillos" (sandwiches) for €2.15 and litres of beer with patatas bravas (typical Spanish tapas of fries with spicy tomato sauce) for as little as €6 -- a cheap and perfect lunch/snack place in that plaza, should the hunger bug bite and you don't want to spend an unnecessary little fortune. Evenings and weekends it's usually packed, but service is super fast and their most famous bocadillo is the calamari one, but I personally prefer the one with lomo (chicken). AND, the bread of the sandwiches is actually fresh and soft, so unlike most sandwiches in the city, the ones here won't rip a layer of skin off the top of your mouth!
Closet metro: Sol