Going to Europe next month and in need of advice (GAs inside)

Hi my friends!

Next month I'll be in Europe (London/Madrid/Paris) for a family trip and its my first time on the continent, so I need some advice on which places to visit and where to buy cheap/nice stuff. Here goes the list.

1) Best places to visit: You know, sightseeing, historical relevance, etc
2) Best stadium/games to attend to: I'm a big sports fan, so I want to visit places and watch as many games as possible. Don't have big bucks with me, please keep that in mind
3) Best theaters/shows to attend: I also love music and plays, so give me some advice about the best concerts and plays during next month
4) Best restaurants to visit: something different and nice

I think I'll add more questions later and all help will be highly appreciated. Here's a little train - ENDED as thanks for your efforts. :)