I was in Madrid around New Years', and Indomini16 told me about where to find coin shops in Madrid. Spain is an awesome place to get the kind of coins I like (relatively) cheap, although as always there are overpriced items (far less than in the UK or France, though).
Most of the shops are in Plaza Mayor; it's got at least a dozen stores on the sides, or in the alleys leading from Calle Mayor to the Plaza itself. To top it off, on Sunday mornings there's about a couple dozen vendors that set up shop in the Plaza, some selling coins.
Check out also the Spain section in the People's List of Coin Shops pinned above.