RTVE is Spain’s state-owned corporate television station, very similar to the BBC in the U.K. or PBS here in the U.S. They’re the largest and most popular broadcaster in Spain, and they show a wide variety of news, documentaries, fictional dramas, reality shows, etc. Since they’re state-funded, there’s no profit motive and therefore less motivation on their part to restrict who can watch their products, from where, and through which medium. Consequently, their website, RTVE.es offers a lot of material that’s all in Spanish and free to view by anybody, anywhere in the world. It should be noted that not all of their videos can be viewed outside Spain, but many of them can. It seems that, with the exception of news, the more recent a show is the more likely it is to not be available outside Spain.
What I’ll recommend first and foremost is the news show Telediaro. There are usually several segments per day, and most of those will include Spanish subtitles (intended for the hearing impaired, but we know who else they’re useful for!) you can activate in the bottom right corner of the video screen. It should be noted, however, that if you want the subtitles you’ll probably have to wait a day or two for them (a human has to do them manually, which is a good thing because it means they’re done right, machine translation is still a long way from being as good). So if you want the subtitles, pick a show from a couple days ago, if you don’t care and want the latest news then choose the most recent transmission.
Personally, what I’m really fond of is the daily morning show Los Desayunos (it’s kind of a summary of current news with the added bonus of an interview segment at the end that’s about 20-30 minutes long). This one also includes Spanish subtitles, however you’ll have to wait a couple days for them just like with the above.
Additionally, they offer a ton of great documentaries, which you can see via the preceding link or by clicking “Documentales” in the menu at the top of their site. All of the ones I’ve seen so far include a transcript (verbatim of what’s said) on the right hand side of the video screen (note that you can click on a piece of dialogue there and it’ll skip the video to it). The thing with these is that they’re not all available outside of Spain. What I think the pattern is here, is that all the more recent stuff (3 months? 6 months? I have no idea, something like that) is restricted to people in Spain and then once it ages beyond that point they open it up to everyone. So, in other words, look for shows that are at least 6-12 months old and those will almost certainly be available.[Annotation via Andrew at How to Learn Spanish]