Bocadillos

Bocadillos are simple sandwiches, that are usually made of  a roll of bread and some sort of filling. Some of the most popular fillings are jamón (cured pork), chorizo (a type of sausage), and tortilla (a potato and egg omelet). You can count on them being really inexpensive, I haven't payed more than two euros for one, and they are very filling. They are a great cheap option for lunch,anywhere in the city.
Bocaditos, are mini bocadillos that are often served as a sort of tapa, or snack item.

Cien Montaditos is a restaurant chain here that offers 100 different types of bocaditos. On Wednesdays and Sundays, they lure in a large crowd by offering anything (but salads) on their menu for one euro. While the food there isn't the best I've had in Madrid, it's hard to argue with all you can eat, all you can drink for less than ten euros (maybe more if you're hardier than me).

For anyone coming to Spain and worried about finances, just know, that it is quite easy to fill your stomach for less than two dollars, on tasty bocadillos.