Let me amaze you for a minute...(in Madrid) I have been to:
Museo del Prado
Museo Nacional...Reina Sofia
Espacion Fundacion Telefonica
Galeria Elvira Gonzalez
Ermita de San Antonio de la Florida
Museo ABC de Dibujo e Ilustracion
Museo de Historia
Museo de Arte Publico
Templo de Debod
It sounds excessive but all of these I have gone to for free and all have been SO interesting. I don't have a favorite since they are all extremely different, but I've really liked the MAPFRE, CaixaForum, Ermita de San Antonio, the Templo de Debod, and of course the Prado.
Saturday I met with my friend Erin to go to the Museo of San Isidro. We didn't end up finding it so we went shopping instead and then got pistachio gelato...but I shall not give up. I'm gonna try again to find this museum maybe tomorrow or this weekend. We shall see.