Have a drink in the plaza mayor, but take your own and sit round the statue, rather than pay a shed load in a tourist restaurant around the outside.
Talk a walk in retiro park at the weekend, but bring your own crisps to feed the ducks and fish.
By a metrobus ticket (at about 5.7euros for 10 trips, including the airport) to get you around.
Do the open top bus, for sure!
Take the kids to the stadium, the palace and the shops.
Only do the galleries if you are genuinely interested in that sort of thing.
Enjoy!