The Thyssen-Bornemisza is part of Madrid's "Art Triangle" (along with the Prado and Reina Sofia) and has an interesting and varied collection that's worth a visit. It's known for having "major works by minor artists and minor works by major artists," a description that's perfectly apt. Yes, it was works by the Impressionists and Italian masters, but the real gold are the lesser-known pieces, especially those of the Fauvists and Dutch/Flemish school. I was surprised gorgeous and technically-masterful works by artists I'd never heard of before.
I will warn you that the collection is enormous...it spans millenia and you could spend several hours exploring. In fact, many people are already tired by the time they reach the more recognizable sections (the Impressionist, for example). So, pace yourself!