On a rainy afternoon in Gran Vía, one of the best things to do is visit the Museo del Prado. This world-renowned art museum is home to an extensive collection of European art, including works by famous artists such as Velázquez, Goya, and El Greco. Spend your time exploring the museum's galleries, admiring masterpieces from different periods and styles. The Museo del Prado offers a fascinating journey through the history of art, making it a perfect activity to enjoy on a rainy day.