To find a good selection, you can start at the El Corte Ingles in Puerto del Sol. The shop is on the basement level. For a REAL tobacconist experience, I recommend the shop on Magallanes street (calle or avenida, I don't recall). Take the red metro line to "Quevedo", go west a half a block to Magallanes, turn right (north) and it's right there on your right. It is the perfect cigar shop.
Oh, and don't worry that you'll pay inflated prices by going there, the prices are the same everywhere because they're controlled by the government.....the kind of thing I normally despise politically, but you didn't hear me complaining at the time.

