And if you have time , in the Next province of Toledo,you can explore this old city, TOLEDO,with one of the best Cathedrals in Spain!!.Here you can see a picture taken inside the Cathedral.
Close to EL ESCORIAL,you can see too, EL VALLE DE LOS CAIDOS.About 45 KM. from Madrid.Here you can see a very big church made inside of a mountain where is located the General Franco's tomb,and a Big cross with 150 metres.
What most of travellers use to miss are the surrounding areas. I highly recommend The Pedriza Park just in the village Manzanares el real. This Park is magnificent. One of the best of Spain.
Another place to visit is the northern mountain range of Madrid (Lozoya, Rascafría, El Paular and Montejo´s hagues close to Guadalajara)
About 1 hour from Madrid you'll find the majestic monastery of El Escorial, which houses important art pieces, imposing architecture and the tombs of the Spanish royals.
In the next province of Segovia you can find another beautifull Royal Palace LA GANJA DE SEGOVIA.About 1 hour from Madrid centre.
Cogolludo, or any of the small villages surrounding Madrid along the rim of the mountains of the Spanish Central System.
On the picture: Palacio Ducal in Cogolludo