The train from Valencia to Madrid only goes 1.5 hours, the speed of high speed rail is great! When you get to Madrid one of the things to do is to definitely take a walk around a night Madrid, but tuck in and hide all your wallets and documents this city is notorious for pocket thieves. In Madrid definitely stop by at Lolina's Vintage Cafe. It has a very unique vibe, and a decent choice of interesting appetizers, it is located in a vibrate night neighborhood that is worth exploring on the weekend when all the people are out enjoying the night.
ABC Museum is pretty from the outside and the inside. The exhibitions are free to public and are featuring old cartoons. Walk in and enjoy their cafe the prices are very reasonable :)
Rio Madrid is a park that is still in progress, the trees are still growing, and the shade is yet to be found, but the fun is already in the air. It is definitely worth to spend a portion of the day in an 8km long park with different activities and elements. Go see for yourself!