Train travel is very easy in Madrid but one must be very careful as there are expert pickpockets in the train and on the station. As you get out especially at Plaza Sol beware of any one dropping coins at your feet, the natural instinct is to bend down to pick them up and this exposes the rear and pockets are then picked. The other trick is to shove something in your face, such as a baby or picture and whilst you are distracted you will get pick pocketed. Keep all valuables next to your body, and attached with a cord or chain, distribute them into two or three packets so if one is lost you still have another. Do not expect much help from the Police.
If you have credit or ATM cards make sure you have the toll free number to call to report the loss and stop the cards, there are plenty internet cafes and you can phone from there.
The ticket booths are sometimes attended by grumpy tired workers and although they have stacks of train schedules and maps they will sometimes be very rude and refuse to give them to you. Get a Metro map from the hotel, tourist center or airport. This is the negative, the positive is that in general Madrid has much to offer and there is much to enjoy, spend a few days there and out to the countryside.
Buen camino.