There is a bus stop just outside the metro station San Cristobal (on line 3, or the "yellow" line) that is good to hitch from (make sure you're on the correct side of the road). There is nowhere else to pull over for several kilometers back toward the city. This same road (Av. de Andalucia) leads South, toward the entrance to the Autovía del Sur highway, which goes to Córdoba and Algeciras.Not far from the entrance to the autovía (maybe only about 5 or 10 km down) is another petrol station. So, you don´t even need to find a ride that is going very far from this point, because you can simply ask to be dropped at the next petrol station on the Autovía del Sur.
East toward Valencia
Take the metro 9 in the direction Arganda del Rey (it costs 1 euro for regular zone ticket + 1 euro for extra zone, you have to buy 2 different tickets) and get off at the stop Rivas Vaciamadrid.
Go out of the station, on the right pass under the bridge to the roundabout. You'll see some steps that lead to a bridge over the motorway, on the left there is a petrol station + an motorway onramp. Combine using a sign with asking people and be patient.
Hitchhiking between Madrid and Barcelona is fairly easy, but there are multiple options
- Go by train or bus to Guadalajara, 50 km away. The journey will cost about 4 euro (4.50 euro from Atocha). Then take a bus to Taracena, a small village several kilometres from Guadalajara (This will cost 1 euro). Just tell the driver that you need to go to the station, a lot of people ask him for that.("Tengo que ir a la estacion de servicio en la autovia") From there you can get to a petrol station next to a bar restaurant, already on the motorway towards Zaragoza and Barcelona. If people are not going too far, try to get a lift to the next gas station, 15 km away, much bigger and with many trucks.
Steffi and Manu tried this option. It takes a long time to get to the spot (it took us 2h from Atocha), and from the renfe train station in Guadalajara there is (as far as we know) no direct bus to Taracena, you first have to take a bus from the renfe station to the bus station. there the buses may leave only every hour. the petrol station is rather small and, when we were there in winter, there were mostly local cars.
- The San Fernando hitch point is a cheaper way. Take the train from Atocha in the direction Alcala de Henares or Guadalajara until the station San Fernando near Madrid. The train ticket will cost 1.45 euro. Behind the San Fernando train station there is an entrance to the motorway where you can easily hitchhike.
- I hitched from La garena. Take the train from Atoche. When you get out of the station, walk straight to av. Juan Carlos 1, go right onto the avenue. It later continues in av. de Europa. Take a left when signs to the highway are there. First you see a Shell gas station (possibility 1) then the roundabout that goes onto the highway is poss 2. The best one is the Galp gasstation. I got a ride offered without asking!
Take the metro to the station Pinar de Chamartín (1 euro). Walk on the street calle Arturo Soria, cross the M-11, follow the street Camino de la Fuente de la Mora, then turn left at the avenudo de Manoteras. This is an upper-class office area full of good-looking young people driving Mini and BMW 120d. There is a Cepsa petrol station on the left 300 meters further, but Grégoire didn't find it very welcoming and preferred to stick his thumb out at the end of the street, where he got a ride to another petrol station further on the A1 30 minutes later.
West towards Portugal
Take metro line 6 to the station Alto de Extremadura and then go to the petrol station on the street Avenida de Portugal, which is the A5 highway. From there search for a lift at least to another petrol station at 48 km down the A5.
Alternatively, it seems like one could easily get to the service station "Polvoranca" on the R5 
You would have simply take the "10" metro line to puerto del sur, about 30 minutes riding away from the city centre, and then walk a kilometre or so down Av. Leganés, splitting off to the gas station as you can see  from this gas station, it seems like most of the traffic would be going toward Toledo or Portugal.
- Hitchbase has some information about getting out of Madrid.