AH - Yep, I've lived in Madrid for the last 18 years but moving to Boston (USA) next month - I think the water will be a bit colder over there 
If you are looking for a cheap get away, there are some great open water races in Spain that are very well organised:
Tabarca-Santa Pola (town about 15K from Alicante) - 6K swim from an island to the mainland, ferry to start, 28€, 1100 swimmers, 1st week July, lottery to enter (opens in March), superb organisation.
Tabarca-Alicante - 21K swim from an island to the mainland, need your own support boat/crew, end of May.
Illa Benidorm - Benidorm - 3.5K swim from island to Benidorm beach, ferry to start, 24€, last Sunday of August, normally sells out, v.good organisation.
Zarautz-Getaría - 2.4K (very) rough water swim close to Bilbao in the Basque Country, end of July, 21€, 1400 swimmers, v.good feedback from swimmers.
Lanzarote - Isla Graciosa - Swim across a channel with strong currents (to the island that can be seen when going up the 'Mirador' climb during IM Lanza), 2600m, first week of October.
There are also a lot of shorter 'inshore' races (750m-2500m) throughout the summer in most Meditarranean ports
The problem with most of these races is that information is hard to come by and web sites, if they exist, are very basic and you probably need to know a little Spanish to be able to find out how to enter. If you want more info about a specific race, let me know which one and I'll try and find the web site.