The "Círculo de Bellas Artes" opened yesterday an exhibition called "Stellar moments of the 20th century photography" (free translation from the spanish title :) ), including pictures by Cartier-Bresson, Robert Capa, Riefenstahl, Man Ray, Andy Warhol, Marina Abramovic and many others. I haven't visited it yet, but sounds interesting. Just for you to know.
For more info (sorry, in Spanish) : http://www.circulobellasartes.com/ag_expo.php?ele=38
El Círculo de Bellas Artes is in C/ ALCALÁ, 42, Madrid.
(The picture is 'Rituales en Haití' (2001), by Cristina Garcia Rodero.)