Location
All roads lead to Puerta del Sol -- literally. Known as "kilometer zero" because the distances of Spain's highways are measured radiating out from here, Sol serves not only as the heart of Madrid, but of the entire country as well.
Puerta del Sol is a great point of reference for anyone visiting Madrid, since a number of important roads diverge here. Head westward on Calle Arenal and you'll reach the Royal Theater & Palace; go southwest on Calle Mayor and you'll find the Plaza Mayor and "Austrias" part of Madrid. Eastward, Carrera de San Jerónimo will lead you to the Congress and Prado Museum, while Calle de Alcalá takes you straight to Plaza de Cibeles, the Puerta de Alcalá and the Retiro Park. Any of the northbound shopping streets (Montera, Carmen, Preciados) put you out on Gran Vía -- cross the street and you're on your way to Malasaña.
Metro stops in this area: Sol, Sevilla, Gran Vía, Ópera