If you're a fan of live theater productions, book yourself some tickets for a show at Teatro Alcazar. Look online to see what's still available.
You'll soon discover why this Madrid Centro arts and culture attraction is visited by many travelers. If you're looking for other things to see here, Plaza Mayor, Prado Museum, and Santiago Bernabéu Stadium are in this area too. They won't take you long to get to from Teatro Alcazar.