Metro Gran Via

This is a good size station just off Gran Via on the edge of the pedestrian Zone. They station is well signed, and has lots of ticketing machines. As you come above, in daytime it is in a shopping area. Lots of stores and restaurants. Though these tend to be chains and souvenir shops.
Be aware this is an area to be aware, even in daytime I saw a purse get grabbed. Also some might have issue with the Adult Shops. At night those people will have more issues as the stores and restaurants close and the women come out. Just saying.
Still the station is close to lots of good hotels, live up along Gran Via etc. I often use the station as it is close to where I stay in Madrid, Its a good area, Just be alert. That advice is good anywhere in any big city.
Tip: there is a rack where you can rent bikes at the street level.