Loco Club is an intimate venue presenting live music acts and sometimes comedy shows three nights per week. The room is small, so you get the chance to be up close to the performers. The prices for entry and drinks are reasonable, and the staff are friendly.
Like most of Spain, things don't get going until later in the night, so make sure you siesta. Loco is open for 10:30 pm to 3:00 am, Thursday, Friday, and Saturday.