In 2009, I spent my Christmas holidays in Madrid, Spain. Not only this is a very beautiful city, but it also has a couple of places that might interest cigar aficionados. Spain consumes more cigars than any other European country. This is why almost every tobacco shop (estanca) has a basic selection of Habanos (Partagas Serie D No. 4, Montecristo No. 4, Cohiba Robusto...) stored in decent conditions. However, some of the shops have a walk-in humidor. I visited two of the most famous cigar shops. Fortunately, they are located close to each other, next to the Bilbao metro station.
Cava Cardenal Cisneros (Google Maps >) has a huge walk-in humidor and a very complete selection of both Cuban and non-Cuban cigars. Jesus, the owner, speaks English and will happily show you what he's got. I purchased some Partagas Serie D No. 3 LE 2006 and the new Regional Edition from Ramon Allones. This is the shop that I truly recommend.
Out of curiosity, I went to the other shop, Cava de Magallanes (Google Maps >), located just a few hundred meters away. There's also a walk-in humidor (which seemed slightly over-humidified to me), nobody was able to speak English though (make sure you carry a pocket dictionary if you're on a visit, English-speaking people are rare birds). However, I was able to purchase a few of Vegas Robaina Maestros.
And if you want to smoke a puro straight away, there is a Vips (sort of cafe-shop-restaurant) on the plaza Glorieta de Queveda which has an indoors smoking area, quite comfortable.