For me, no visit to a new city anywhere in the world is complete without going on (at least one) walking tour.
Madrid and Barcelona are both excellent cities for walking tours. Barcelona in particular has a number of walking tours, focussing on food, architecture , photography or even ghosts!
But at this time of year, with the Christmas markets just starting, is to go on a Christmas walking tour. Both Barcelona and Madrid have walking tours that combine general city sights with a visit to a Christmas market.
If you are visiting both Madrid and Barcelona and have to pick between these two walking tours, I would pick Barcelona's, due to the unusual Christmas traditions that you'll find there. Read more about Strange Christmas Traditions in Spain.
You can book your Christmas walking tours here: