Originally a mining town, Madrid, situated on the scenic Turquoise Trail - state highway 14, has evolved into a quiet residential town full of interesting shops and artists.
It recently featured in a Touchstone film - Wild Hogs.
Apparently the area is supposed to be haunted and numerous ghost sightings have been reported. Alas I did not stay long enough to check it out!
Best time to visit is Christmas time when there is a incredible lighting display. This tradition was started in the 1920's when the electricity was supplied free by the local coal company.