Pickpocketing is SUPER common in Spain. Remember that these guys work in teams! If you suspect that someone has just pickpocketed you, you may be too late! As soon as they get the goods, they slyly pass it on to a comrade walking in another direction. They split up and then meet around the corner or "home base" to see how much the jackpot was.
Also, watchout for people dropping money in front of you. This is meant for you to drop your guard. The objective is for you to bend over to help, and while doing so, the partner in crime tries to lift your wallet from your back pocket. The main target is the older tourist. I saw this little operation attempted right in front of me on my first time to Madrid, but the old guy reached for his back pocket and knew the drill. So he angrily said something to the guy that dropped the coins and the thief just kinda smirked and giggled with his two buddies as they walked off. I wasn´t sure what was going on until I saw the three walk off together with their "aw shucks" head nods. This happens very quickly so be careful!
Also, watchout for groups of "gypsy women" and young street kids (part of the gypsy clan). These people shove papers(like sundays newspaer ads) in your face, and while you´re looking at this paper, their hand(or partners hand), is inside your bag grabbing what they can. You don´t see a thing as the paper is blocking your vision. You can see this at work in Madrid, especially on Sunday mornings at a street fair called the Rastro-close to Sol. Just watch for the women traveling in two´s or three´s constantly approaching people. I kinda got them on video, but they weren´t successful in the 20 minutes or so that I had followed them with the camera. They did however piss off a lot of people that knew what the were up to. Didn´t matter though, they just went to the next victim.
These people just don´t care. Stay alert at all times