Buenavista is a majestic palace which houses the general headquarters of the Spanish army. Built in 1767, it used to be the residence of the Dukes of Alba.
The interior is very flamboyant and the gardens are lovely. You can also witness changing of the guards in front of this palace.
Changing of the guards take place every last Friday of the month at 11 a.m. (except July, Aug, Dec).
Wikipedia (Spanish) http://es.wikipedia.org/wiki/Palacio_de_Buenavista_(Madrid)
More information at esmadrid.com http://www.esmadrid.com/en/tourist-information/palacio-de-buenavista
Address Calle de Alcalá, 51 28014 Madrid, Spain
Coordinates 40°25'16.169" N -3°41'41.809" E