Madrid eats at ten and goes out at one, and the metro stops at about 1:30am — so the shape of the night really comes down to whether you are willing to walk home or pay for a taxi.
Café Central
Madrid's main jazz club, open since 1982 and past 15,000 concerts, with two rooms: the original at Calle de Santa Catalina 10 and the La Cátedra auditorium at Calle del Prado 21. Open daily from 5:30pm to 12:30am; sets are ticketed separately from the bar, so book if there is a name playing.
Corral de la Morería
The long-established flamenco tablao at Morería 17, below the Palacio Real in La Latina. Tickets with dinner start around €95.90 and there is a drink-only option; under-7s are not admitted. It is the expensive end of Madrid flamenco and it books out, so reserve rather than turning up.
Sala El Sol
A concert hall and club going since 1979 and closely tied to the movida madrileña. Gigs run in the earlier part of the evening; the El Sol Club night takes over from about 12:30am, Thursday to Saturday. Cheap, central, and the right answer if you want live music before a club rather than instead of one.
Cava Baja and La Latina
One narrow street in La Latina lined end to end with tapas bars, at its busiest on Sunday afternoons when the Rastro flea market empties into it. Standing at the bar is cheaper than taking a table, and unlike in Andalusia you pay for each tapa — nothing arrives free with the drink.
Malasaña
The neighbourhood north of Gran Vía that the movida came out of, and still the dependable option for small bars and cheap beer around Plaza del Dos de Mayo and Calle San Vicente Ferrer. It fills after midnight; noise rules mean the terraces are cleared well before the indoor rooms close.