There are regular flights to Madrid from the United States and major European cities. The massive Terminal 4 (T-4), inaugurated in 2006, handles flights from 32 carriers, including Aer Lingus, American Airlines, British Airways, Iberia, and Virgin Express. All other American and British airlines depart from and arrive at Terminal 1. The terminals are connected by a bus service and also to a subway line that takes you to the city center in 30 to 45 minutes for EUR 2.
With the exception of those connecting to Madrid and Barcelona, flights within Spain tend to be expensive. Iberia, Air Europa, Spanair, and Vueling cover the Madrid-Barcelona route, and the introduction, in early 2008, of a high-speed train line (AVE) that reaches the center of Barcelona from Madrid in less than three hours has pushed these prices lower. Spanair usually has the best discounts. Airline Web sites and local flight consolidators, such as www.edreams.com and www.terminala.com, can help you get the best price for local flights.
Because Madrid is in the geographical center of Spain, all the major train lines depart from one of its two main train stations (Chamartín and Atocha) or at least pass through Madrid. Although traveling by train is comfortable, for some destinations it's better to take the bus because the buses run more frequently and make less stops. This holds true for Segovia and Toledo, unless you choose to take the more expensive high-speed train.