Once you have completed the loop of World Heritage cities around Madrid, the question arises which of these sites was the most impressive. My answer is Toledo and Segovia. Admittedly, this is not a groundbreaking new insight, most travellers would choose these two. But it is well justified. Segovia has everything you expect from a historic old town on the World Heritage List: outstanding monuments, a beautiful location, and a lively atmosphere.

The main landmark of Segovia is the Aqueduct, or rather its visible part, the Aqueduct Bridge. Above the Plaza Azoguejo, the aqueduct has a height of almost 30 metres. Impressive that it has survived 2000 years almost undamaged. It was in operation until 1974, certainly one reason why it has been so well preserved. Out of town, the visible part ends after about 700 metres at the small Casa del Agua, a purification basin of the aqueduct.
At Plaza Azoguejo, the water reached the old town. After climbing the steps to the Postigo Del Consuelo, you can enjoy a beautiful view of the construction. Up there the aqueduct disappears underground. You can follow the course of the water through the old town with the help of bronze plaques inserted in the pavement. Alternatively, you can turn left and enter the old town via Calle Real, passing the Casa de los Picos with its faҫcade made of diamond-shaped stones and the pretty Romanesque Iglesia de San Martin. No matter which route you choose, sooner or later you will arrive at the Plaza Major, the charming centre of the old town. At the Plaza Major, the cathedral turns its back on you and you can try to count its numerous spires.
The Cathedral of Segovia is considered the last Gothic building in Spain and possibly in Europe. In summer, it has very convenient opening hours: from 9 am to 9.30 pm (including the obligatory siesta break, of course). I got the last guided tour for the tower at 7.30 pm. Great views, but the multimedia show and the visit to the bell-ringer's flat are not necessary in my opinion. There was a special atmosphere in the almost empty cathedral in the evening. Its spacious interior is impressive, but I liked the cathedral even better from the outside, especially the slender and elegant tower.
Finally, the third of the top monuments: the Alcázar. It can compete with Neuschwanstein as to which of the two had more influence on our (and Walt Disney’s) romantic idea of a medieval castle. However, the Alcázar really dates from the Middle Ages. One point for Segovia, I would say. The most remarkable features of the castle visit were the coffered ceilings in almost every room and the view from the castle wall.

This brings me to the real highlights of Segovia: the viewpoints. Segovia is located on a rocky plateau between the valleys of the Eresma and Clamores rivers. The surrounding landscape is more or less the same height as the old town and so you have a beautiful view of the ‘skyline’ from almost everywhere, sometimes only the tower of the cathedral juts out. My hotel host organised a mountain bike for me (I guess it was his own) because I couldn't find a bike rental, so I went for a ride around Segovia. My favourite viewpoints are: Ermita de la Piedad (southwest of the old town), Igreja de Vera Cruz (nice view to the Alcázar), Zamarramala (my photo is from a dirt road one kilometre east of the town), and the Mirador de La Lastrilla (northwest).
I also went to the Source of the Aquaduct in the foothills of the Sierra de Guaderrama. To get there, I followed the description on this website (with coordinates). It's not hard to find, but I'm not sure if there are any remains from Roman times, most of it looks quite new and restored. From the village of Revenga, where I left my car, it was a nice walk of about two hours. Perfect to fill the siesta, but certainly not necessary for a proper visit to this WHS.

As mentioned by other reviewers, Segovia also has some worthwhile sites outside the inscribed area. At comparable WHS, Avíla or Salamanca, there are a number of these extra-muros locations, but most of them are of lesser significance. In Segovia, it would make more sense. At least the lovely Iglesia de la Vera Cruz, with its dodecagonal ground plan, and the Real Casa de Moneda (Royal Mint), probably the oldest industrial building in Europe, would be worth including.

I visited Segovia in May 2019 and spent two days there. The city has enough to offer to entertain a visitor for more than just a day trip from Madrid. I liked that it was not overcrowded with tourists, especially in the evening there were many locals around the old town. However, it is said that on weekends in summer there can be many day visitors from Madrid.