My experience with this...
Depends on the game. I went to Madrid in Feb and that was to be one of the highlights of our trip to Europe so I got the complete scoop talking to people, looking at websites, and looking at the official Real website. First off if you are flexible with your date you are in good shape, well were last season, with Beckham who knows if things get worse. Last year about half the games were sold to the public because the teams weren't compelling enough, teams like Sevilla or Osasuna. The rest don't go on sale to the public. Forget the games about the big opponents, the tickets will only be through a scalper and you will pay at least 4 times face for those for an Atletico or Deportivo type match and 500 euros for a cheap seat to a Barca match. If you can get there for a publicly sold game you can get them in the public sale by phone or at some ATMs around Madrid. I heard conflicting reports on when the tickets went on sale for those games, but just be prepared and call up the automated phone line that is listed on their website and you will be told when the seats go on sale or sometimes they list the sale timeline on the official website. For those public games the tickets they sell usually run between 20 and 40 euros. The Champions league matches are much the same, although many matches before the last couple of rounds are unattractive opponents and tickets are quite easy to get since most season ticket holders choose not to pay them to see some Russian or Swedish team, for example, so if you can make it to one of those then you are in a good spot to get tickets once again on the phone or ATMs.
If your plans are to go when its a team they don't sell to the public be aware while there are scalpers out there, they are difficult to deal with. Most scalpers are actually businesses out of the UK or local guys that are hard to get ahold of because the law is unbelievably strict there. I can't remember the last time I went to a sold out match of any sport and didn't see one public scalper near the stadium! That is how tough they are on it. I went to see the match with Betis and it wasn't publicly sold. If you don't speak Spanish it might be difficult to deal with the local guys. My wife did all the talking for me, she is Mexican so that wasn't a problem for us. It was obvious we were unlikely to be police by her accent and my lacking Spanish skills and yet he still wouldn't tell us what he looked like or where to meet him, I mean really evasive obviously worrying about getting caught. Felt like a drug deal when we were told to meet him at Burger King across from the stadium 10 minutes after our last call to him and he said we had to go inside the restaurant to do business. With all that hassle its no surprise there is big markup on scalped tickets, we had to pay 70 euros for 24 euro face value and they were horrible seats. Still its an experience you can't miss and I would do it all and pay the same thing to do it again.
Hope this helps...