Yes, I've been to Madrid several times... Well, it rather depends what sort of holiday you want.
There's a good set of museums there if you are into that kind of thing. The Prado is the national museum for classical art, then there's the Reina Sofia that deals mainly with modern painting and art. Both worth a visit.
http://en.wikipedia.org/wiki/Prado
I would recommend the Bornemisa Thyssen museum too, which has a great collection of art from the Middle Ages to modern times.
http://en.wikipedia.org/wiki/Thyssen-Bornemisza_Museum
For a nice stroll in the parks, check out El Retiro,
http://en.wikipedia.org/wiki/Parque_del_Buen_Retiro
which is near the Prado, and you could also see the old Station of Atocha to see some interesting turn of the century architecture. For gay life check out the area named Chueca,
http://en.wikipedia.org/wiki/Chueca
which is near the centre. The
Fiestas de Chueca are associated with the Gay Pride that takes place in June.
Madrid offers all kinds of places to eat out at the tapas bars and plenty of places for music too. You should definitely see Puerta del Sol and Plaza Mayor
http://en.wikipedia.org/wiki/Plaza_Mayor,_Madrid which is only feet away and where you will find an information desk.
Then you could also have a look at the Royal palace (Palacio Real)
http://en.wikipedia.org/wiki/Royal_Palace_of_Madrid
which you can visit and the opera house that faces it.
Should you want to go to an outdoor market, meander through El Rastro.
http://en.wikipedia.org/wiki/El_Rastro