Cheap & lovely pintxos
Orio is a Basque-style pitxos joint on C/ Fuencarral, the main shopping drag in downtown Madrid and the artery of the stylish Malasaña neighborhood. I'd suggest ordering a few glasses of Txakoli, a lightly-fermented Basque white wine that's tangy and fizzy and one of my personal favorites among all the Spanish wines. It's not common to find outside of the Basqueland, so I jump at the chance.
Of course, they have a bar covered with platters of delicious pintxos to sample. If I remember right, they had paté with caramelized onions, ham croquettes, fried goat cheese, anchovies, Serrano ham, artichokes with roasted tomatoes, crab salad, stuffed peppers, smoked salmon with dill, stuffed mussels, and all kind of other delicious little snacks. They best part, though, is the oyster bar serving up fresh, briny oysters on ice with fresh cracked black pepper, Tabasco, and lemon wedges. To die for.