First time I visited Madrid back in 2002, I searched for Chocolateria de San Gines. Lonely Planet highly recommended the syrupy beverage, and for good reason.
On my last and recent visit, I was introduced to another chocolate shop -- Valor. I've tried their box of chocolates even before I sipped that hot Choco.
If you ask me, I'd still go for the old charm of Chocolateria de San Gines. Their churros look and taste better. As for the chocolate drink, it's a matter of choice. Some like it sweet. Me? I like mine not too sweet with a hint of bitterness.
For more photos, details and directions, check out this link. Buen provecho!