I hate to admit it but there are a few additional activities for football fans visiting Madrid that are related to Real Madrid.
Real Madrid offer a stadium tour which includes a visit to their museum which is worth seeing, more details here:
http://www.madrid-guide-spain.com/real-madrid-stadium-tour.htmlAtletico Madrid have also recently opened a museum at the ground. Details of which are only in Spanish so as a quick translation:
The Museum is in the stadium itself.
Opening hours are Tuesday to Sunday (inclusive) 1100 to 1900
The Museum also offers stadium tours at 13:00, 16:30 and 17:30 on the days that the museum opens.
Enterance prices are 6€ without the tour and 2€ more for the stadium tour.