In Britain, late-night revellers finish the night with a kebab. In Spain, such habits are a little more civilized. Pop by Chocolatería San Ginés in the early hours of the morning, and you'll find a heady mix of wide-eyed clubbers, tourists fighting to stay awake, and Spanish families, complete with children (who should have been in bed hours ago) running amok among the tables.
Order chocolate con churros from the counter as you go in, and then find a seat in the basement to await your cup of treacle-thick hot chocolate and freshly made churros: deep fried loops of batter. The street-side terrace makes it a nice option for the daytime, but this is a place best enjoyed after dark.