Here is what I've experienced so far:
1) because I'm on summer vacation and have nothing to wake up early for, I usually sleep until 10. I cook breakfast in my apartment sometime between 10:30 and noon. Then I head out and walk around/explore Madrid.
2) between 3-5, I eat lunch. Sometimes I'll buy something at a store or go to a restaurant, but sometimes I cook in the apartment.
3) now here is the craziest part: dinner. It's very typical to go out for a drink and/or "tapas" (light snacks) between 7-10 with friends. Then, at some point after that, you may find yourself eating a real dinner. This may be grabbing a slice of pizza para llevar ("to go"), sitting down at a cafe or restaurant, or cooking in your apartment. You can call it a night after that, or if you really want to have some fun...then you can go out to different clubs or hang out in the plazas until 3-4am. Last night I tried going to bed at 2am, and I heard people outside on the streets and plazas until 4ish!! Do Spaniards ever sleep?
Anyways, it's been crazy adjusting to the new eating schedule, but I'm shocked to see that less than a week after arriving, I don't even think about lunch until 3/4ish and dinner till 10ish. Dios mio!
Having a delicious cup of coffee helps to combat the vicious jet lag early on! This is Toma Cafe in the hip neighborhood of Malasana.