One of the things I was looking forward to the most in Spain was having fresh churros and chocolate. I did a little research, and while there are plenty of places that offer the dish, I kept coming back to the classic recommendation of Chocolatería San Ginés. They offer crisp, freshly made churros and a thick sauce that is not too sweet.
This treat is NOT like an American churro. It is light and not overly sweetened. The sauce is thick and dark. And as a huge bonus, they are open 24/7 so you can get a late night fix, which seems particularly ideal in a city that also happens to serve up some fabulous drinks and seemingly endless amounts of wine.
I would recommend adding enjoying this classic treat to your Madrid 'to do' list!