It is a cool city
I was at first not impressed with Madrid but it grEw on me. Buen retiro park and Prado museum did it for me. I felt really safe walking around but of course I heard about the pickpockets.
Insider Tip:It's a walkable city as most of its sites are walking distance from each other. Your feet may thank you if you do take the Metro to get from one place to the other.