I always say there is something different about walking through any city at night during the holidays. I got to spend nights walking in Paris and Madrid, enjoying the Christmas lights in every corner.
The best thing about Madrid was definitely its food. I was only there for a week, but I ate incredibly well, like the typical tortilla and potatoes. Also, there is a very popular ham in Spain, which you can eat by itself or with bread. And the tapas, which are small plates of food.
The Christmas markets are very popular in Paris and Madrid, one reason being that these two cities are among the most visited in the world. This type of market allows tourists to enjoy the city and its Christmas lights while trying their most popular dishes. Locals don't typically go to these markets, at least not on days like Christmas or New Year's Eve. Something you will quickly learn about locals in Paris or Madrid is that they don't love tourists. I guess it can be overwhelming sometimes. Especially in Madrid, because in Paris, you see many tourists, but in specific spots, such as the Eiffel Tower or the Champs Elysées. But in Madrid, people are everywhere since the city is smaller and the tourist spots are more spread out all around the city.
However, locals do visit these markets at the beginning of December, and they also go ice skating at the beginning of the holidays.