All over Madrid you will be able to see beautiful nativity scenes, in churches, palaces, the Plaza Mayor and even in stores. Some of the more well known ones can be seen on a guided tour, which takes in the nativity scenes of the Plaza Mayor, the Convento of the Carboneras, Príncipe (Royal Palace) and the Monasteries/Convents of la Encarnación, las Descalzas y Santa Isabel. These tours start from the Royal Palace (the Almudena door) on the 14, 16, 21, 23, 28 and 30 of December and cost 3.15 Euros for adults and 2.55 for children and retired people and I believe they are conducted in Spanish. You can always go to the above venues at your own convenience as they will be open all over Christmas.