My wife and I spent 5 days in Madrid and it was a wonderful vacation experience (16 days in total in Spain). The Palacio del Retiro Autograph Collection hotel was very nice and personal, and while it misses on a few "little things" (like most hotels), I would strongly recommend this property. I used my suite night awards for a nice junior suite overlooking the Retiro Park. At first they offered a room upgrade for the SNAs, but I explained my Platinum status should do that without SNAs so they found a suite (this is an inconsistent benefit that Marriott needs to more clearly define).
With only about 45 rooms, a more personalized experience is found throughout the hotel. The breakfast was very nice with a buffet of fruits, breads, meats, cheeses, etc., along with anything from the hot menu. The room keys are actually keys and you drop them at the desk when leaving so the bulky package isn't in your pocket all day. Most of the staff remember your name and they are very accommodating with all requests. It's an elegant, historical building with lots of character. The location was ideal and is near metro stations and easy walking distance to museums, shopping, restaurants, etc.
The best way to truly experience a city is on foot, and we walked everywhere (although with plenty of food and wine breaks it didn't seem like it). There are several food markets (Market of San Miguel, Platea Market) which is a great way to experience different cuisine in small (tapas) formats. One of the best restaurants was Ten Con Ten (recommended by the hotel) that's in the Salamanca neighborhood, a very upscale shopping district. Another favorite was Bresca in the Anton Martin area which we visited for lunch and dinner. The Prado museum is a short walk from the hotel, as is the Thyssen Bornemisza museum. The Royal Palace of Madrid was exceptional too. El Retiro Park and numerous plazas around town provide endless opportunities to discover the local culture. The Christmas light displays everywhere made evening walks memorable and temperatures in the 50s made walking very comfortable. What might be the most memorable was the wine -- at every cafe, pub and restaurant we'd order the house wine usually only 3-4 euros per glass. We never do this in the US as the house wine is rarely good, but the Spanish wines are exceptional.
At the end of our trip we returned to Madrid and stayed at the Marriott Auditorium and Conference Center by the airport to catch a flight home the next day. We were upgraded to a suite that was spectacular. A very nice Platinum Lounge made the end of a long day and trip very comfortable. A very nice hotel we are already booked there again in May for another overnight before a flight.