It may be a surprise to some, but there are a number of very good ski resorts around a one hour drive from Madrid. The best known are Valdesqui (train to El Coto or bus from Moncloa), Navacerrada and La Pinilla slightly further away in Segovia Provence. All these ski stations are well equiped with ski schools, equipment hire as well as hotels, cafes and restaurants. Expect to pay around 35€ for a day's worth of skiing. For further details and for the latest information we recommend you visit their website.