Reina Sofia museum is always a good idea. And it's never enough of Picasso's Guernica as well as the other modern art gems. Save some hours for visiting and then look round the corner and have some wine at NuBel.
Matadero is a contemporary creation center, a charming place to go at night to see the concerts and architectural lights. It always has an interesting program going on.
Museo ABC is dedicated to drawing and illustration.
The museum is a building with history. It is located in Amaniel street, one step away from Conde Duque Center, in a building that in 1891 would be the first Mahou beer factory in Madrid.