Nighclub with the soul of a dive bar
Costello Club is more of the more popular venues in downtown Madrid and it's located right off Calle Montera which runs between Gran Via and the Puerta del Sol. The Costello Club is divided into two floors with two very different vibes: the top floor goes for more of a classy lounge vibe complete with mood lighting, name-brand cocktails, and a chill soundtrack (think stuff like bossa nova, etc.). The downstairs, though, is the typical "cave" basement you'll find in many Madrid clubs and is really the only place at Costello that I frequent.
The downstairs room holds concerts basically every day of the week and while it does occasionally hold international touring acts, what Costello excels at is bringing great up-and-coming acts from Madrid and Spain in general. If you're at all interested in the local Spanish scene, there's no doubt that you'll end up at Costello Club one night catching a great show.