Was just in Madrid last weekend. Tried out Erotic Palace (basically a video booth place) and hated it. A friend went to Sauna Paraiso and said it hadn't been updated since the last time he was there a few years ago, and the sauna Octopus is still in business though I didn't try it.
Did go to The Ring, which is a semi-private club (you buy a membership when you go, if you like) and it got pretty crowded with some pretty hot guys. Also went to NKD which is normally a swingers club but was gay on Sunday morning. Small and not worth it, in my opinion.