I walked all around the city trying to find good gaming/figures stores and didn't have much luck. Except for El Corte Ingles. A huge chain of department stores all over Spain, I didn't find a single place selling games, which is really weird give that the city seems filled with people of all kinds, nationalities and races. My dad said he saw a figure store near our hotel room but we never got time to visit it because of the tours. Bummer.
El Corte Ingles had a lot of very cool games for every console, even the PS2. I saw Record of Agarest War Zero and WRC2 at 45 euros and Rayman Origins at 30 euros. Rayman was especially cheap in my opinion, 30 euros is around 40 bucks I think. Sadly, I'm leaving the city in just a couple of hours and won't have time to go to the store and buy any of the games.
During the weekend and next week, I'll be visiting Cordoba, Sevilla and Granada. I really have no idea of what to expect about these cities but I'll keep an eye out for gaming and figures stores. If I find any, I'll write a little update down here. Once I'm in Madrid for the final days of the trip I'll be able to freely walk around the city and purchase any games I see with a good price.