Can't remember most of the clubs. One was called BlackJack, I think. There's stacks of them round the centre anyway.
Stayed in a hostel, on a street just off Puetra del Sol, Calle de Carretas. Was €20 a night for a twin room. Not the most luxurious place, for the price and location, ye can't complain. Not sure what it was called, it might have been this place. http://www.hostelspoint.com/res/155/hostel.php?str=3066 But there's a few other hostels on that street too.
If you have GoogleEarth, just type in Madrid, and it brings you right to Puetra del Sol, so you've an idea of where's it at.