Real Jardín Botánico,
As I was saying earlier, the heat in Madrid, though intense, is easy enough to bear as it's dry. But if you're too comfortable, there's always the tropical house in the Botanic Gardens, near the Prado. There you'll sweat while you admire the vines and cacti. There is also a collection of carnivorous plants who eat insects to make up for the lack of nitrogen in the earth in their natural habitat.
In another corner of the garden there is a fine display of bonsai trees donated to the institution by Felipe González, the first socialist prime minister in post-fascist Spain.
The garden maintains a huge range of flowers, vegetables, herbs and trees. Well worth an hour or two.