Madrid is a Royal city and full of Museums so obviously there will be many themed tours around these attractions.
You will find tours of the main museums, artist themed tours (Goya and Velazquez, for example), even tours of smaller museums that are specialist in nature (like Sorolla or Cerralbo). The Madrid Royal Palace is a must to tour with a guide. In addition because of its recent political history in the Civil War, those interested in modern history can visit Franco related buildings and places in Madrid. Food and drink in Madrid make for some of the best tapas tours in Spain. And the array of daytrip destinations around the city can be toured with groups and knowledgeable guides.
For first time visitors there is a good hop on hop off bus tour of Madrid. Free walking tours are available in the central areas with attractions. And finally, being the home of Real Madrid makes it very interesting to tour the Bernabeu Stadium.