Madrid got its first five-star boutique last September with the opening of Urso. The 72-room hotel is set in an early-20th-century palace that encompasses an entire city block. Despite the neoclassical facade and grand marble staircase, the hotel’s service is far from old-fashioned. In the spa, unexpected treatments include a diamond-dust facial, and the pop-up-inspired restaurant hosts a different rising chef each month. But Urso knows some traditions shouldn’t be messed with: One of the oldest patisseries in town supplies the turn-down sweets. From $245.