Nestled in the foothills of the Sierra de Guadarrama, the city's main attraction is the world famous Monastery of San Lorenzo de El Escorial, (El Escorial for short) , a World Heritage Site, that was the political centre of the Spanish empire under King Philip II. It is often visited as a day-trip from Madrid, however it's also a good place to spend 2 or 3 nights so you can visit the surrounding countryside.
Monastery of San Lorenzo de El Escorial: Originally commissioned as mausoleum for his father Charles V, when building completed in 1584 the grounds included a basilica-church, monastery, royal household and library. The pantheon contains the remains of Phillip II and those of his parents, Charles V and the Empress Isabel of Portugal. You can visit the official website here.
Some highlights not to miss in El Escorial: