Luggage and bags:
Bring rollable luggage if you plan to travel on the metro and make sure it is not too large because there are lots of stairs
Clothing/Shoes/Weather Gear: Wear comfortable shoes because there are lots of stairs and cobblestones and since Madrid is a walkable city you will be much more comfortable in sneakers
Photo Equipment: If you have one bring a digital camera, if you dont bring at least 3 cameras, even if you are only going to be in Madrid for a short time. I was in Madrid for 3 days and had 2 cameras and I still felt I hadnt taken enough pictures.