Depends on what you want to do. Just did Madrid in Jan/Feb and had a great time. Fairly inexpensive too on lodging and food (wine/beer!). About an hour and a half train ride out of Madrid and you are in the old cities of Toledo or Segovia. Great history there.
London (and environs) is also a great trip. If you havent done the tourist London, you can do it in a couple days on the tube/bus. Saw "We Will Rock You" in the East End on the cheap (also available were Jerry Springer, The Opera) and most of the other shows now playing if you like that, or just go pub hopping at night. You could also rent a car and head out to Stonehenge and then to the Southern Shore. Beautiful scenery and lots of fresh air.
It all depends on what you want to do. What are some things you might be interested in? History, clubbing, museums, nature, etc? (Anything cheap!
)