Madrid is very safe and not a place to get violently robbed, but pick pockets problem remains. The fast city has certain locations where you should watch out. These are Sol, Plaza Mayor and El Rastro market. these are places overcrowed by people so the pick pockets just pump into you and touch your pockets.
Unique Suggestions: wear a money beld under your clothes.
In the night while i was walking in the street lonely. A morocco guy started to speak to me, and while i was walking, he did like a judo trick to me, like they want to make you fall by using his leg in front of your left leg. Afterwards, i understood my jacket pocket was upside down. They want to focus on your leg to clean your pocket. I had few pounds in my pocket and i didn't hear/feel anything. Hopefully i just lost nothing more than 3 pounds
Nevertheless, i know what to do by night. I always wear tight jeans. I put all my belongings in my jean and leave my jacket with nothing.
Madrid is beautiful but beware of cons. There for 4 days and got approached twice, once at Atocha area and once near Plaza Mayor, both in full daylight - but woken up saw potential cons in Retiro and in far off Toledo - just be aware! Con 1 near Atocha, approached by plain-clothed policeman with gimmicky hidden police radio, and asked to co-operate in questioning and what have I got in pockets, he had partner posing as another tourist/local also being questioned - luckily something spooked them and they walked off. Con 2 near Mayor, 3 women 'Tourists' approached with map in hand asking directions - while map in face and distraction by 2 others,ones hidden hand went to my pocket, which I felt and removed forcibly with a few swear words - they turned and walked away (didn't shout for police in case of getting overwhelmed by fakes). Saw fake police badges openly on sale in a shop near Mayor!! Just keep you wits about you and try and not act like tourists.
Unique Suggestions: If approached by a policeman, unless they are in uniform / you have just thrown a brick through the jeweller's window, and asked to do anything, insist on doing it at the main police station (Find out where at least one is in each City, before you arrive) - obviously do not go with him in his car! Spain is not a police-state, so if he objects you do the same loudly!!!