Keep quiet inside the century-old underground Medina Mayrit, a Moroccan-style hammam open until 2 a.m. Dip into aljibes (wells) and Arabic baths in three different temperatures, or visit the massage and aromatherapy rooms for an exfoliating rubdown. Speaking is forbidden.
Dance like a queen at the Palacio de Gaviria, a club inside a restored palace built in 1850. Cabaret performances and art exhibitions are part of a weekly calendar of rotating special events.
Sneak around back to hear after-hours professional flamenco musicians performing for each other in a back room at Candela (C/Olmo 2, 914-673-382) in the early morning hours.
Get an early breakfast at Chocolatería San Ginés (Pasadizo de San Ginés 5, 913-656-546), the city’s oldest spot for churros. Post-club crowds pack the place till about 6 a.m.