When I decided to move to Spain, I would never have thought of skiing here. There are the Pyrenees, where you could expect some areas, but I was not expecting anything anywhere else. Meanwhile, I have been skiing in Asturias (north, center) and Sierra Nevada (south, with a view of Africa!)... Especially the latter was quite convincing: a large skiing area with a lot of people who can actually ski (for Tyrolean standards quite hard to achieve!). Just thought it would be kind of crazy to be skiing end of March in Spain, while having a glimpse at Africa and enjoying almost 20 ˚C in the "valley" (that is, Granada).
While I am at it: Granada is quite a beautiful town, and naturally there is the Alhambra to visit (but I did not enter: you have to reserve at least 2 months ahead if you want to get in...). There are more foreigners here than in Madrid, naturally, and it seems to have slightly less extreme temperatures than the capital. Nice place to live, I guess: 1 hour for skiing, 1 hour to the beach!
In summary, there are 3 decent areas for skiing in Spain: the Pyrenees, Asturias and Granada/Sierra Nevada. I have not seen the first, but everybody tells me it is the best place (Update: I've been there, in Formigal - yes, it is nice there). Anyway, I'd say Granada is definitely the fanciest and worth a visit, too. And then you can ski on about any other mountain range here, too (e.g., Gredos, Guadarrama, etc.), but for my taste, the slopes there are not quite as steep and long as I'd like them.