Although this place isn’t about metal, heavy metal or rock, the Matadero de Madrid has an interesting agenda with shows, performance, exhibitions, etc. The metro station is Legazpi. Check their website!
Rock Palace. Pub and Venue. Mostly rock and punk, underground music even reggae. Open till 1:00 am (monday, thursday and sunday); friday and saturday till 5:30 am. Metro or train station Delicias (metro line 3, yellow; train linesC1 and C10)
La Riviera. For metalheads it’s just a venue, the rest is a club, from time to time make a heavy metal party though. Check the page! Metro station Puerta del Angel (line 4, gray)