We visited El Escorial in mid-November, and it was very cold and windy because it's close to the mountains. It's worth the visit but it's best if you go in the summer. (travel there by bus, it's about five euros or less round trip).
Quick Tips:
My friend and I visited Spain for the very first time in November 2003. We stayed at a nice little hotel called El Coloso. It was only per night for the two of us. It's within walking distance from La Gran Via, which is where all the stores and restaurants are. Great service and very comfortable. We booked just days before we left and I think we got a good deal.
Some advise when you eat out, especially in Madrid: You are going to have to go out of your way to get some service at some restaurants. They don't come to you right away because the restaurants are always full and they only have one or two waiters working at a time, so be patient.
Best Way To Get Around:
Transportation is Spain is great. In Madrid you can take a bus or train to any other major city in Spain for very little money. Don't take taxis for long trips unless you have several people in your party that are going to the same place. Ask around at the bus terminal or train station it's very cheap to travel anywhere. If you like to walk, don't be afraid to walk all over Madrid. Just remember the name of your hotel, and when you get tired take a bus or taxi back, you can't get lost.