Wife and I just did Barcelona, San Sebastián, Segovia, and Madrid back October. Loved it all, and the day and night we spent in Segovia were a highlight, at least for our tastes.
If you stay in Madrid, consider renting an apartment intead of a hotel. They have VRBO-style home rental agencies there that we used to rent a fantastic 2 bedroom apartment right on Plaza Mayor for only about 90 euro per night.