Walking in Madrid Spain is the best way to discover this capital city. The Spanish have a term for their favorite pastime, and it is called Paseo – a leisurely walk, and in Madrid it is a way of life. You will see people of all ages enjoying their evening paseo in every part of Madrid. If it works for the locals, then it works for us too. When you explore Madrid from the ground, you will get the essence of what the Madrileños, the correct name for those from Madrid, do on a day to day basis.