If you come to Madrid from December to February, you can make a daytrip to the mountains around Madrid, in the north of the province.
In Navacerrada% or Cotos% there are skiing stations, and you can go there just for hiking or having a walk in the woods. Is a nice mountanious area that can be reached by train from Atocha or Chamartin stations. Take the "cercanias" line 8b, towards the north and go down till Cercedilla (a nice village, but no snow there always) and change to line 9 till "Pto.Navacerrada", or "Cotos" (final stop).
BUT don't go on weekends, as is full of madrilians!!
Recently a huge artificial skiing ground has been opened in the Xanadu Comercial Centre, in the south of Madrid.
It has a skiing slope with 50 centimetres of artificial snow, room for 500 persons, more than 100 trees, -2°C temperature...
Equipment: 1 hour for 12 euros. Kids for 10 euros. Mon-Thurs 10-23h. Fridays, 10-2am. Saturdays 9-2 am. Sundays 9-23h
Best plans are those that are spontaneous.
Talking over dinner we decided to go off on a day trip to Sky.
An hour and a half away from Madrid you can find a very resonable option for skying: Navacerrada or Valdesky.
You can catch a bus at Moncloa station that takes you directly to Valdesky. (only one at 9:30am and comes back at 4:30pm) Another option is to make your way to Navacerrada, and from there take another bus to Valdesky.
As in many stations gear is available to rent if you don't have your own. Lines are long and in high season they can run out of certain items, so allow plenty time or be prepare to go down the slope in jeans.
Credit cards are not accepted: not to buy the forfait or the equipment. There is a place to store bags or personal belongings.
Be smart and have a good breakfast. If you don't have time before you go out, you can always get a bite in the local restaurant.
Hot chocolate and a mix bocata is the choice for most. Be prepare to pay the price for a bite in the sky.
Skiing can be done at Puerto de Navacerrada. There are 15 downhills, an elevator that gets you up 2200 metres. ATUDEM gives you information about the ressort.
Equipment: you can hire ski's and snowboards.