Hi!
I'm from Madrid. My friend predatorpt told me you were looking for wargame stores here.
There are a lot of hobby and wargame stores in Madrid. some of them are very near between them.
Atlántica juegosC/ Luna, 6 (Very near Gran Via, just a few meters from Callao metro station)
Webpage:
http://atlanticajuegos.com/Is one of the best options for wargamers. It has historical and fantasy sci-fi wargames, boxes, blisters...from all the principal manufacturers. Very complete. Also they have wargaming and history books and board games.


In the same zone, in the streets around (Calle Luna, Calle Estrella...) there are lot of geeky shops, but more focused on comics, anime and manga. Also in Calle Estrella there is a store specialized in Star Wars figures that is very interesting and impressive -also called Atlántica, because it's some kind of franchise-.
Very near you have, in (Calle Desengaño 24) a hobby shop named "Model Reyna" that is focused in plastic model kits and wooden model ships (
www.modelreyna.com).You can visit these shops at the same time.
Goblin TraderC/ Enrique Fuentes 22 (near Plaza Elíptica metro station)
(
www.goblintrader.es)
That's probably the best store, because it's enormous, the staff is very nice, and the prices are great because they sell all with discount (including GW stuff)
The worst part is that its not in the midtown. Is not far from the Metro station of Plaza Elíptica.
Their entire catalogue is also in their online store -at the same price of their physical store-.

QuimeraC/ Jorge Juan 112 (near metro stations of O'Donell and Manuel Becerra)
http://www.tiendaquimera.com/It's also one of the bests shops in Madrid. The staff is nice, they have a lot of things, blisters and boxes from a lot of different manufacturers. Also they have a second-hand section and a great gaming zone in the cellar, full of handmade scenery, that I recommend you to visit.
Also the shop has toilet and a drinks vending machine, so you can live inside.


Very near you have another two wargaming stores (a few minutes walking): La Flecha Negra and Toys n' Soldiers
La Flecha NegraC/ Elvira 1
This shop is a little small but absolutely full of interesting stuff.
It's a little messy and the owner will look you like if you were some kind of weird pokemon that just appeared in the tall grass (I don't know why).
But the best part is that they have a lot of discontinued items, and dusty boxes from ancient times that could be a treasure if that's what you are looking for.

Toys n' soldiersC/ de la fuente del berro ,11
(
www.toysnsoldiers.com)
This store is more focused in action figures, but they also have wargames and sometimes second-hand interesting stuff and discounts.
The staff is extremely nice.
(As an interesting adding, very near you have a Poundland -called "Dealz" in Spain- and if you are with your wife or girlfriend, this zone is very near from Goya -a very commercial zone full of boutiques and every kind of shops- so you don't have to drag her between wargaming stores with this face that every wargamer knows-> (¬¬.)
Quimera, La Flecha Negra and Toys n' Soldiers are very near and you can visit them at the same time.

Bazar MateyC/ Santísima Trinidad 1 (near Quevedo and Iglesia metro stations)
This is a must visit if you are looking for plastic kits.
Their new shop is a three-plant store that has an entire plant for military plastic kits, an entire plant for trains, and an entire plant for model cars.
The staff is also very nice, they are the Matey family, that are in the modelling business from more than 100 years ago.
Hobbies VicenteAndrés Mellado, 25 (Near metro Argüelles)
That shop is also a traditional model kit store, that has every kind of dusty model kit boxes, specially very rare ones made in strange countries decades ago.
It's a little messy shop, but very interesting to visit.
You could find a porn magazine between a pair of 60's polish made plastic kits (true story!)
The owner, Vicente, is a very nice guy. A little crazy, but very nice to meet.

Also you have a Games Workshop store in the same street (Andrés Mellado 10), very near.
Games WorkshopYou have official GW stores in these streets:
C/ Panamá,2
C/ Andrés Mellado, 10
C/ Duque de Sesto, 22
You know how official GW stores are...
"Hey guy! Do you want to buy this super mega awesome mega-rat full of skulls that only costs 150 euros?!, you will beat all your friends with that! Tell them also about it, they will need their own ones!"I don't recommend to visit them wearing a suit, they will think that you are some kind of millionaire that will want to buy the entire shop and will try to convince you to do it (even if you are just looking for a paint).


I hope this information will be useful for you. If you need more information or need something, let me know.
There are also more shops, but these are the principal and most interesting ones.