I went late Sept last year. It was still hot (perhaps not the scorchio heat of Madrid in July) but sunbathing, swimming etc all still done. Madiera is brilliant - most hotels are expensive to visit but the overall quality makes them worth the extra over most Med destinations. Full of history, walks, nice restaurants, spectacular scenery and amazing nature.
The approach in the plance is great, especially if you are lucky enoughto be on the land side when the plane lands (quite breathtaking as there is a cliff overlooking the runway)
Watch out though, there are no "bar streets"