I did my PPL in Madrid with Aeromadrid. The cost worked out at about 5.000 € for the whole course in a two seater (PA38).
All training takes place from Cuatro Vientos airport, to the south west of the city. The main problem is that if you are only taking the PPL they insist you do the written exams in Spanish.
Other schools worth checking out are American Flyers, Aerotec, Aerofan, Jymair and Flyline.
Good luck and pm me if you need any more info.