Felipe is the heir of the throne, and so he had to marry in Madrid, that was quite logical. But Madrid hasn´t such an impressive Cathedral as both Barcelona and Sevilla has. La Almudena was the best solution, the greatest and most impressive of Madrid´s churches, plus the Cathedral, "home" of the city´s patroness and next to the Royal Palace.
I would have love if they had married at Los Jeronimos, that´s such a beautiful gothic church, King Alfonso XIII and Queen Victoria Eugenia married there, and the sorrounders (Paseo del Prado) are very nice too, but it´s a very little place for such a great wedding (of course, A&VE´s wedding was a small affair compared to F&L´s)
Los Jerónimos:
http://www.spainonline.com/images/MADRID/Iglesias y Conventos/Madrid-Iglesia de los Jerónimos01.jpg
http://www.pueblos-espana.org/fotos_originales/3/5/3/00010353.jpg