As I lived in Madrid , I have visited this small city too. The place has pre-Moorish settlements so I found it attractive for a one day trip.
El torreón del Alamín (esp. Tower of Alamin) is a tower of the old wall of the city. It is located behind the concatedral of Santa Maria. He originally supervised access to the city from the Alamín suburb. Both buildings are dating from the 13 century.
Close to this is a fantastic 15 century Palacio del Infantado – an extraordinary well decorated building both the facade and the central courtyard. The palace was the seat of the Dukes of the Infantado.
El panteón de la Condesa de la Vega del Pozo y Duquesa de Sevillano is a 19 century building constructed by Countess de la Vega del Pozo in honor of her father and relatives deceased years before to be buried there. It forms part of the monumental complex of the San Diego de Alcalá Foundation.
I was also impressed by modest medieval historical architecture, usually examples of Castilian mansions with roman or moorish moments.