I agree with the first point, the only two times I have seen pickpockets here in Madrid has been on the train or on the escalators at a station.

Very wise advice. Always keep your bag secure on the metro. A moment’s inattention caused a friend to lose her purse with all her money, house keys, ID card and credit cards – and she’s lived here all her life. Of course, this is true whether you are on the metro or just walking the street, as I wrote on my blog in : http://aviewofmadrid.blogspot.com/2009/11/words-of-warning.html.
All cities have their miscreants. They will target obvious people. The answer is don’t make your self an obvious target. Don’t carry money obviously – and that means in money belts and those silly plastic wallets tourists wear around their necks – as that makes you a target. In fact, only carry what you will need. Don’t carry all your holiday money on you all the time. Hotels have safes! Be aware your backpack will point you out as an obvious mark. Better to travel with a case on wheels you can monitor at all times. If you have to have one, take it off and supervise it while riding the metro. Don’t think that locked zips are any protection. These guys have razor blades that will slice open any pocket on a back pack in seconds. But really it’s just a matter of common sense. Unfortunately some visitors seem to leave their brains on the plane!
I have to say that though I have seen rowdy, beer swilling kids riding the metro at night, I have never seen anyone vomit in a carriage. Perhaps I have been lucky. No public transport system in the world is comfortable during rush hour, but Madrid’s modern carriages and very frequent service do much to lessen the pain of travelling at that time.
The metro maps provide a source of income through advertising for the Metro. So they are print new ones regularly. Plus, with several new stations literally coming “on line” every year it is wise to update the dog-eared thing you’ve been carrying for months from time to time. All in all, like Madrid in general, I have to say the metro is relatively safe for visitors to our city. Yes, be careful with your belonging and be aware of those around you, but I feel far safer, even late at night, here in Madrid than in any other city I have lived in.