Embalse de San Juan
Time Out says
A must visit during the summer in Madrid. Few parents and grandparents haven't taken their families to this reservoir situated between San Martin de Valdeiglesias, El Tiemblo, Cebreros and Pelayos de la Presa to cool off. With 14 kilometres of beaches, it's the only reservoir in Madrid where swimming is allowed. The areas for water sports are well defined and separate from the swimmers. It's important to follow the safety recommendations as the depth can reach up to 70 metres in some areas. It's usually very crowded on the weekends between June and September, so you'd better go early or you won't find a place to lay down your towel.