In the summer months (June, July & August), bring light cottons, T-shirts or other loose tops and some kind of cap for your head - anything that provides protection from those punishing sun rays. During the winter months in central Spain, a warm overcoat and gloves will be needed to protect you from sometimes fierce cold and winds. Otherwise, no special recommendations are necessary.
Madrid enjoys, around 2.800 hours of light through the year and an average temperature of 17 degrees centigrade.
