There'll be plenty of Christmas markets taking place in Madrid to get your shopping done this month! The biggest one which takes place annually is in Plaza Mayor and runs for the whole of December. We recommend it as a place to find traditional gifts and there's plenty of festival food and drink on offer. For the kids we recommend Plaza Callao where there is an ice rink and live Christmas music. Some other large markets include:
Plaza de Santa María Soledad Torres Acosta (known as Plaza de la Luna by many locals- behind Gran Vía)Plaza de Jacinto Benavente (between Sol and Tirso Molina)
Calle Montera (on the corner with Gran Vía)
Plaza de Santo Domingo
These all run until 15th December and open until 10pm.