May 15th is San Isidro, who is Madrid's patron saint. Thursday (the 15th) was the official holiday so most people took the Friday off too (puente, aka bridge), and of course there were celebrations all weekend.
There were all sorts of performances, dances, and fireworks throughout the city. Most of the museums were free on Saturday and Sunday, and were open until midnight. People who dress in the traditional Madrid costumes are called "Chulapos" and "Chulapas", which is a grey suit for men with a hat, and a dress with a head covering and a flower for women.
Here's an interesting comic I found in a local paper. It's a torro who says to the matador "Not for San Isidro fiestas nor for milk [an expression], Oie, I'm non-religious", referring to the fact that the saint's day is a holiday and that there are an extra bull fights over the next two weeks for the festival.