Almudena Cathedral. The Virgin of the Almudena was supposedly re-discovered in the spot where the cathedral now stands, after being lost for centuries. It had been hidden in the city wall when the Moors conquered Madrid way back in the day. Catholics love stories involving miracles and virgins. It’s a pretty ugly cathedral, though.
I have no idea what the story is here. This guy is half-naked and carrying a violin. Usually a dog means it’s San Roque, but San Roque carries a staff with a gourd hanging on it, and doesn’t have these well-developed biceps. So I’m going to say that this guy just represents some young MadrileƱo gentleman of previous centuries who liked having fun and was popular with the ladies. In any case, he’s in a little square right off Plaza Mayor.