Driving from Madrid to San Sebastian in February. We would like to visit smaller towns/villages along the way. We love visiting cathedrals and museums (and we will do a lot of that) but really just want to walk, eat, drink, and visit lots of local shops on this leg of our trip. With the exception of first two nights in Madrid we have no hotel reservations yet, so we're wide open to ideas. Thanks!

We have done this route often (just returned in late July) and are headed on this same route at the beginning of next month.
Are you planning this drive in one day or planning an overnight on route?

Possible sightseeing stops in small towns, rather than the regional capitals of Burgos and Vitoria-Gasteiz, would include Aranda de Duero, the wine town of the Ribera del Duero wine producing region and Lerma on the A1 motorway for a coffee stop in the Parador, which is a former ducal palace and has a lively Wednesday morning market on its huge square and a few shops there selling regional handicrafts plus several churches.

Then when arriving on the Basque Coast, take a short detour to Getaria, a charming fishing village, home of the navigator Juan Sebastián Elkano and Cristóbal Balenciaga, the haute fashion designer, with an unusual parish church with a sloped floor and ship hanging from the ceiling, and filled with nice restaurants with outdoor grills to prepare the finest of fish. Before then, there's Zumaya for the flysch, but the flysch is better seen from a boat excursion. Beyond Getaria, there's Zarautz, the surfers' Mecca, but that all takes time, PLUS you'll have limited light in February to enjoy multiple stops..

But if you can spend an overnight night, I highly recommend the city of Burgos, as it has a stunning Gothic cathedral, one of the 3 finest in Spain (burial place of El Cid), plus the Museum of the Evolution of Man. We've often broken up this 5-hour drive from our home to SS with an overnight in Burgos at either than AC or NH hotels. Burgos also has a very lively tapas bar scene at night and is just a lovely place to relax.

The Via Michelin website might be something for you - it allows you to select scenic routes on their maps. I can't help you directly but I have benefited from these maps in the past. Awesome for a free resource.

Lavandula

I second the recommendation for Burgos. In addition to the sites Maribel already mentioned, there's a lovely walk between the Arcos de Santa Maria and the Cartuja de Miraflores.

I like kja's suggestion for the Burgos walk to the Cartuja, and I, like lavandula, too use www.viiamichelin.com for my route planning, as I trust the estimated driving times more than those of Google maps. But I still add some cushion.

If you're leaving from a car rental office in Madrid (the easiest one for quicker access to the A-1 motorway to head north would be the rental offices outside of Chamartín rail in northern Madrid), the drive via the A-1/AP-1 (toll) w/o stops to the center of San Sebastán will take just 5 hours.

We're headed as far as Aranda de Duero (Festival de la Vendimia, Harvest Wine Festival) this morning, and the drive will take under 2 hours with a coffee stop in Area de Boceguillas, right off the autoroute, a cute, atmospheric Castilian asador, or roasting house that makes tasty individual Spanish omelets (tortilla española).
On the way, Buitrago del Lozoya is also an interesting small town with a castle and even with a small Picasso Museum. It's a quick on and off from the motorway.

https://www.esmadrid.com/en/buitrago-lozoya