Real Madrid is the best soccer (football) team in the world so if you come to Madrid, try to watch a game ("match" - 40 euros more or less) and visit the Real Madrid museum in the Bernabeu stadium in the Nuevos Ministerios / Cuzco area (15 euros each). Real Madrid on Wikipedia and on Flickr. Call home and take an order for shirts and stuff while you're at it.
Trophys everywhere: (They go on forever together with the multimedia presentations about the players, soccer team, basketball team, etc. I think there must have been around 200 of them. They really do have the most impressive sports-related tour I've ever seen.)