the time frame you have given gives you 3 whole days in Madrid which is a perfect time to see the main sights - the 3 major museums, the Palacio Real, the cathedral, the Retiro park, the historic centre, a flamenco bar...depending on your interests you might even squeeze in a trip Segovia, Toledo, or the Escorial.

BTW some flamenco shows start at 10pm rather than midnight, so that might not be too late for you!

personally i would stay in madrid itself - it's quite a big place and it's vey pleasant to wander around in the evening going between the tapas bars. i don't know if there is anywhere near madrid that is anything like sitges. As you are going to be getting plenty o countryside in Mallorca, personally I'd stay in Madrid itself.

we stayed here: http://www.hotelopera.com/en/

it was central enough to be convenient for getting about the centre, and sufficiently out of the very centre to be quiet. it also has a very nice and reasonably priced cafe on the ground floor where you can get an excellent breakfast for 1/2 the price of the one offered by the hotel.

I think I'd stay in Madrid. I think your time would be better spent seeing Madrid than in traveling back and forth on the train to and from Madrid every day. There's a good deal to see in Madrid--wonderful art museums, the royal palace, the archeological museum--and it is centrally located for day trips by high speed trains to nearby points of interest.

I think your time is fine, and of course you stay in another city on the train line and "commute" to/from Madrid as a tourist, but what is the point of that? I just don't understand why you would want to do that.

As already noted, commuting into Madrid when you don't have to is a waste of your valuable time. There are a number of excellent properties in the center of the city for you to choose from in all price ranges.

I would strongly suggest that you stay in the city itself.

Always updated info on wonderful Madrid: http://www.esmadrid.com/en/portal.do

Annhig recommended to see a flamenco show in what is arguably the flamenco capital of the world. The art comes from the south, but everyone have to conquer Madrid to get to the top.

Casa Patas is perhaps the best tablao/flamenco restaurant in town, and the first of two nightly performances starts at 9pm. Only top artists are invited to perform here, changing artists all the time. All performances include the core elements of flamenco: song, guitar and dance. A fine and atmospheric tapas bar and restaurant in front of the "theater". Just off central Plaza Santa Ana in C/Cañizares, 10. http://www.casapatas.com/index.asp
e-mail: info@casapatas.com

A clip from the last performance I saw in Casa Patas, wonderful local bailaora (dancer) Concha Jareño in July 2011:
http://www.youtube.com/watch?v=95ORMp_E2AY

I also would recommend staying in Madrid. Is price your concern? Why would you not want to stay centrally? If it is price, we stayed very centrally with a reasonably price.

To se_milione_miglia
I note from an older thread that you did a self guided bike tour of the Loire Valley region. Can I get some advice from you regarding this? I know this is not the right thread.
Thanks,
Joe
gocardsjoeh@gmail.com