My favorite story about Plaza Mayor is about an equestrian statue of King Philip III in the center of the plaza. During an anti-monarchist protest, a bomb was shoved into the mouth of Philip's horse. The bomb exploded, blowing the statue into pieces. But moments after the explosion, the protestors were appalled to find themselves covered with feathers and tiny bones.
Sparrows had for many years been flying into the mouth of Philip's horse and, unable to escape, died. The stomach of the horse had become an enormous sparrow tomb.
When the statue was put back together, the mouth of Philip's horse was plugged up.