Here's some suggestions:
1) Eat some hot chestnuts (outside metro de Quevedo) before going to V.O cinema close by.
2) Stroll around los Austrias.
3) A night out in Huertas? Perhaps go in the Kareoke bar?
4) Go to that indoor snow palace (I forget its name)
5) As well as going to El Corte Ingles etc for Xmas shopping, pay a visit to some of those really cheap Chinese shops.
6) Afternoon stroll in Retiro park
7) Go to a football match in Getafe or Lleganes or any other smaller team.
8) Choose a sunny day to have a drink in the Plaza Mayor. One drink only (unless you are millionaires)
9) Have a special meal in a South American restaurant - Argentinian steaks are superb.
10) Treat yourselves to some pescados/mariscos (or have a paella). Not typical regional food, but you can get really nice examples in the capital.
...and that's without mentioning the museums (de Jamon...)

MrMark