The first time I was in Madrid I visited this place and saw 'Reflections in a Golden Eye', this summer I saw; 'The Deadly Companions'. They also had a season to celebrate the centenary of David Lean. So, I've been explaining to people it is the Spanish equivilent of the National Film Theatre, which they re-branded as BFI Southbank. Well worth a visit and superb value for money, I think the film cost €2.75.
Cine Dore, Filmoteca Espanola, link.
Picture of the outside of the building, link.