My favourite of the big museums in Madrid is the Centro del Arte Reina Sofia. It is famous for Picassos Guernica and it’s collection of Dalís work. What made me come back since I first went last June is the fact that they are also hosting many different exhibitions at a time.
The one above was very colorful and once somebody wanted to touch one of the sculptures not realizing that it was forbidden.
If you go in the hotter months it is nice to visit the garden in the first floor to escape the summer heat.