Gran Via

Definitely the place to go if you want to be pick pocketed or otherwise ripped off. Inevitably as the main tourist, shoppers attraction it has become a magnet for thieves, scam artists, beggars, Colombian whores and other undesirable aspects of a capital city. Shops offering "cash for gold", (aka rob a tourist and we'll fence it for you). Despite that, some quite classy shops (though if excessive money wasting is your bag then go to Salamanca), impressive architecture and if you wander just a block or so away, some quite excellent restaurants. Appropriately topped off by the Plaza de Espaňa and the statue of my hero, the epitome of all things Spanish, Don Quixote.