I will help you choose a Flamenco show by posting here the best ones in Madrid. They are also the best reviewed on the internet. So you can assume they are all good. Factors to take into consideration are: Size and layout of the restaurant, prices, menus and customer reviews.
Some have a fixed price for show + dinner. Some others dinner is apart and you can take a look at their menus on their websites (links below each picture). Or you can just watch the show. Some salons are wide and you might not be too close to the stage. Good thing is that you won’t have people bumping into you and waiters have enough room to walk through. Some others are small, you are likely to stay close to the stage, but you’ll seat close to strangers and it could be a little harder to have a waiter coming all the time.
After taking a look at prices, menus and photo galleries from the links I posted below each photo, if it’s still hard to decide which one to attend, Trip Advisor is the way to go. They won’t say which one is the best, but you can read real reviews from customers. When I read reviews before going somewhere, I read the good reviews and the bad ones too, so to kind of know what to expect.