Trouttimes, Onestrangeone, thank you very much for your welcome.
R, tobacconists in Spain are state concessions, they are called "Estancos". Prices for tobacco are established by the state and are the same in every shop. However, some of them have better assortments of pipes and pipe tobacco.
In Madrid, I can recommend these (I will provide the addresses as all of them are advertised in the shop front as Estanco):
C/ Miguel Ángel 20, Madrid.
C/ Murcia 9, Madrid.
C/ Jose del Hierro 39, Madrid.
C/ Alcala 256, Madrid
C/ Clara del Rey 40, Madrid
Plaza de Peru (I don´t remember the number, but it should be the only "Estanco" in Peru sguare.
C/ Ayala 102.
C/ Magallanes 16.
C/ Felix Boix 4.
You can look for them through Google Maps and find the one most convenient to you.
Tobacco is at a very good price for the EU. Available blends are listed in this
link. It is from a Barcelona tobacconist, but the tobaccos shown there are those available right now in Spain.