Winter in Madrid is exactly the type of book that I like.
It is based around a certain period of history (post the civil war in Spain, and early on in WWII) so you get a good feel for a particular period in time, while at the same time it is a good old fashioned thriller – bit of spying, bit of fighting, and a nice twist at the end.
It is well written, in particular in the way that it builds the pictures of the characters, and its accuracy to the civil war (from the little I have read i.e. The Spanish Civil War) seems very good indeed.
If you want to get a feel of the culture and current history of Spain, while at the same time enjoying a good old read this book is well worth picking up.
While you are at it take a quick look at my training update