For football you obviously have Real and Atletico, but you also have Getafe, Leganes, Rayo Vallecano, Alcorcon and Fuenlabrada in the top two divisions. I've been to all except Fuenlabrada if you need any advice on tickets or getting there etc.
I'd reccommend going to Mercado de San Miguel, particularly if travelling with a missus. If you're after a good steak, I thoroughly recommend going to a De Maria Parilla restaurants. There's a steak which is excellent that's just under €50 to share between two, but you both get a load of freebies including a starter (pumpkin soup), glass of cheap fizz, and two desserts (mango yogurt and alcoholic lemon sorbet).
thanks for the tips, i've been to Madrid many many times, but not to any football games yet. I've my eyes on an Atletico game yes.