The one time I went to Madrid I only spent a few days and had a local friend take me around, which was obviously better than doing it as a tourist, except it means I don't remember where the nice bars and restaurants I went to were. The Prado and Reina Sofia museums are quite excellent, I highly recommend those if you're into art. We also went for a stroll around some historic district or another that had lots of plazas and a place enticingly named El Museo del Jamon, which I didn't go into but I can't see how you could go wrong there. Didn't do anything special food-wise, but I do remember the basic neighborhood restaurants serving pretty good grub at a good price.
I've been to Barcelona twice, both times as a tourist with no one local to take me around, so I know I never got the best experience of the city, basically limiting myself to the things on the guide books. Parc Guell is pretty cool, Montjuic is ok, stay the fuck away from Las Ramblas, and maybe wait for them to finish La Sagrada Familia before spending half your day in line to get in. I didn't research record stores, but I stumbled onto one somewhere in the Barri Gotic/Born area where I picked up two Fruko y sus Tesos LPs. For food, pa amb tomaquet with jamon was my staple during the day, any basic cafe serves it. I can recommend Cal Pep for really good fresh seafood, it's one of those restaurants that's on all the guide books but it really is quite good, you have to wait for a seat but my waits weren't very long, although I think I got there early. I also did the catalan molecular cuisine thing at Comer?? 24, I liked it but it's up to you if you're willing to drop a big chunk of change on a single meal. From what I understand there are better restaurants for that, but this one is pretty good and I think they have opened a less pricey gastropub type place now. Both my stays were limited to the central part of town, the Barri Gotic/Born/Barceloneta/close to the beach part is nice to walk around, but I think there are other nice neighborhoods not so close to the center.
I've also been to games at the Bernab??u in Madrid and the Camp Nou in Barcelona. The Camp Nou has reasonably priced nose-bleed tickets, but if you're interested in catching a game I would actually try going to an Atletico de Madrid game at the Calder??n, I think there's a livelier atmosphere there than at those other stadiums. I also found the people in Madrid to be much more friendly and open (and the nightlife/bars much livelier) than in Barcelona, but don't say that to a Catalan.
I've heard nothing but good things about Lisbon, btw. Apparently there's lots of great food and wine to be had at very cheap prices, and people seem to develop an addiction to pastel de bel??m, the local custard pastry.
