I've read this recently :
Recycled Music Center
This second hand shop right in the middle of Madrid –near the bustling Plaza de Mayo- boasts an enormous collection of used vinyl that’s got techno and house galore, with a bit of dub and downtempo thrown in for good measure. Prices start cheap (like three euros cheap) and, to the delight of many shopgoers who may have encountered the odd “no-listening-before-you-buy” policy, you can play these records to your heart’s content in search of the perfect, previously-loved gem. Just ask the master of left-field bombs, Nicolas Lutz: “There’s a great selection of old records here”.
Didn't have the time to try it yet though