Alcalá de Henares, a city just a short, and cheap, rail ride from Atocha on the local train ("cercanias"), is well worth a visit. You will find few tourists, the ancient university, the archbishop's palace, the "cradle" of Cervantes, the Cistercian Monastery of St Bernardo, and more storks on the roof tops than the average maternity hospital! Lots of good bars and restaurants and much less pricey than central Madrid.
If you speak spanish, www.guiarte.com/alcaladehenares/
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