A popular pastime during winters in Madrid is a trip on the Navibus. The specialized bus takes visitors on a tour of all the incredible Christmas lights the city has to offer. Just a short drive from Madrid is the Sierra de Guadarrama mountains. This is a great spot for skiing, snowboarding, and all kinds of winter sports and activities. In the Plaza Mayor, you will find a Christmas market full of holiday gifts, food, and arts and crafts.