If you want to visit any of these towns you need to take the bus in Moncloa or train (C7 or C10 lines) I don’t know much about these places, any comment is very welcome.
Rey Louie Bar. Pub and concert venue. Open till 5:30 from thursday to saturday.
Revolution Rock Cafe. Restaurant with live music. Open till 2:00 am. Train station Las Retamas (C5 line)
El Límite rock bar. Pub and venue. Open till 2:00 am. Train station Villalba (C10 and C8 lines)