This is a local delicacy. If you are in Madrid and hanging around the Mercado de San Miguel then you must visit inside and try some of these. There are hundred other things that you can try in there but this was absolutely delightful.
Portugal has something similar to this and also more delicious i guess.
But Spain didnt disappoint me on my short visit to Madrid which is the only place I've been so far in Spain. I hope to go back again someday and travel more.