It's easy to find a cheap flight to Madrid from other cities in Europe, especially if you book in advance.

Here's a short list of the major low-cost companies that fly in and out of Madrid:

Easyjet
Ryanair
Vueling
Virgin Express
Air Plus Comet (flights to America as well)
Air Berlin
Transavia/ Basiq Air
Germanwings

And to look for cheap flights with an internet database:

www.viajar.com
www.rumbo.es
www.lastminute.es
www.travelprice.es

Internet Guide:
Car Rentals Links