I served my mission in Vigo, La Coruna, Bilbao, Burgos and Leon. I have gone back on business trips to Madrid a few times over the last 4 years and once to Sevilla. Spain is wonderful. I wouldn't be more worried about pickpockets there than any other big city.
I don't like to carry too much cash anywhere and try to use my credit cards everywhere. That said, it is definitely helpful to have an ATM card to get cash from time to time.