I can only think of the one tube station in London named after a famous person: Victoria.
In Madrid though, you don't have to be royalty to get a metro station - the map's littered with names. Presumably they're reasonably well known to native Spaniards who maybe came across them in their history lessons at school or something, but to me, other than the obvious - Goya, Velázquez and Colón (the Spanish name for Columbus) they mean nothing.
So I thought I'd investigate a little, and find out - starting with the metro station closest to me: Manuel Becerra.
Born in 1820, he got involved in politics in his twenties, leading him to be jailed and exiled several times, yet despite this, he seems to have landed on his feet in the end, becoming a minister in successive governments, both under the Republic and the restored monarchy. He also rose through the ranks to become one of the most powerful Masons in the country, which, come to think of it, could be the reason for his longevity in government.
In 1906, 10 years after his death, the square where the Metro station now stands was named after him. Weirdly though, between 1941 and 1980, it was changed to 'Plaza de Roma' - Franco wasn't a fan, obviously.
You can see a painting of him in the Prado museum in Madrid.