With kids, give Círculo de Bellas Artes Rooftop a miss.
A near-essential sunset stop: the terrace atop the Bellas Artes building gives a commanding, central panorama over Gran Vía and the Metropolis dome, with a bar. The catch is it charges a small entry on top of pricey drinks, and at golden hour on weekends it's busy enough that you queue for the lift.