Plaza Mayor / Puerta del Sol
Very popular areas from the standpoint of both tradition and tourist interest, they can also be dangerous, so explore them with caution, especially late at night. They are filled with tapas bars and cuevas (drinking caves). Here it is customary to begin a tasca crawl, going to tavern after tavern, sampling the wine in each, along with a selection of tapas. The major streets for such a crawl are Cava de San Miguel, Cava Alta, and Cava Baja. You can order pinchos y raciones (tasty snacks and tidbits). Popular discotecas, Joy and Palacio, are located in this area as well.
Santa Ana - Huertas
Close to the Puerta del Sol, this is one of the busiest areas in Madrid. This area hosts a mix of theatres, tapas bars, restaurants and pubs that are open until the early morning hours. The atmosphere is a mix of ages, styles and origins, and is, without a doubt, a great option if you want to stay in one area to enjoy the nightlife. The Plaza de Santa Ana is the best place to start in this area. From there, you can explore the streets Huertas and Alrededores.
Moncloa - Argüelles
Close to the Universities, and full of students, if you are looking for a youthful environment from the early evening into the night this area boasts many tapas bars and restaurants. The area is bounded by Pintor Rosales, Cea Bermúdez, Bravo Murillo, San Bernardo, and Conde Duque.
The heart of activity for the "alternative" crowd, this district is full of bars offering live music. Additionally, there are many moderately priced restaurants.
More up-scale, the streets of Paseo de la Castellana, Paseo de Recoletas, and Paseo del Prado boast quality restaurants, cafes and popular night spots.
The area around the Plaza de Santa Barbara, Glorieta de Bilbao and Alonzo Martinez boast a large number of tapas bars, pubs restaurants and the popular nightclub Pacha.
This area contains mainly cinemas and theaters. Most of the after-dark action takes place on little streets branching off the Gran Vía.
The gay nightlife district can be found on Hortaleza, Infantas, Barquillo, and San Lucas. This area is filled with dozens of hip clubs and inexpensive restaurants. This area can also be dangerous in the early hours of the morning, though the customary presence of weekend revellers who throng the streets till around 3am often manages to deter potential pickpockets and muggers. The reasonably active police presence at night also helps.