Often overshadowed by the neighboring great museums: The Prado, the Thyssen and the Reina Sofia, the exhibition space by the Fundación Mapfre at Paseo Recoletos never disappoints. This space is the perfect size for enjoying the well curated exhibits it presents. I have seen wonderful retrospectives in the past years: Giacometti, Kirchner, Henri Cartier-Bresson amongst many others. I strongly encourage you to visit, it is a very quick, but worthwhile.
For hours, location and more info on the Fundación Mapfre press here.