Naturally, the perfect outing will depend on your friend and their spouse's respective tastes, but Milan has no shortage of awe inspiring tourist attractions. The Milan Cathedral and Sforza Castle never fail to inspire the architecturally inclined, and a performance at the Teatro alla Scala is a great experience for anyone. Milan is also hotspot for fashion lovers, so a fashion exhibition is an exotic option.
Most luxury hotels aren't exactly happy to service four-legged occupants, but thankfully it's not a lost cause. The Hotel Principe di Savoia is a lovely location that's pet friendly and well respected by visitors. It's not the absolute finest in luxury, but it's still quite a lovely establishment and amongst the only pet friendly places at that level.
There's a lot of negative press about Madrid and its crime rate, but the fact of the matter is, hundreds of thousands of residents use the metro every day. Unless you advertise yourself as a tourist, you won't be noticed amongst the thousands and thousands of others who share it with you. If you do advertise yourself as a tourist, you're still unlikely to face any trouble. Just follow basic common sense and odds are good that you'll be safer than in most transit systems around the world.
Of course the perfect spot is going to depend on your tastes, but visitors enjoy the Room Mate Laura in the Sol neighborhood. At a reasonable price, it will leave a good deal of cash in the reserve to let you enjoy your time in the city. Alternatively, you can always let go and have a romantic rendezvous at the Ritz, but that'll cost you.