For a quintessential Madrid experience, you must have hot chocolate with fried churros! And the best place to go for Chocolate con Churros is Chocolatería San Ginés, which is just off the Calle Arenal's pedestrian zone west of the Puerta del Sol. A place that has been around since 1894, it looks quite like what it must have looked in thse early years.
The place is open in the afternoon and at night. Ideal time to visit in the summer, is after you've been tapas bar hopping, and end the evening with a round of chocolate and churros! Its a must do Madrid experience, and, very typically Spannish. Though I found the chocolate slightly bitter, my son loved it..but if bitter chocolate is not your cup of tea, oops chocolate, ask your hotel to give you hot chocolate with churros which would perhaps be more suited to your palatte.
I, unfortunately, did not take a photograph of what churros look like, but managed to get one from the Wikipedia...
Believe me, they are delicious just by themselves! Yum!